Step 1a: Missing Nintendo 3DS folder

This means that you haven't put your SD card into your 3DS yet. Put your SD card into your 3DS, then turn it on. You should see a message box like this one:

I get a message about write protection

Once it's done, turn off your 3DS and put your SD card back into your computer. The Nintendo 3DS folder should now be generated.

It generated

It's still missing