The manual for net_connect states:
"Import data from a /etc/hosts file by dragging the selection into the navigation pane. The import format must be on the form "ip-address hostname"."
Now you would expect that you could drag the file but thats not the case. Open the file (or create a new one) in "wordpad" ensure it's in the "ip-address <tab> hostname" format.
Highlight the text and drag THAT into the net_connect probe.