Windows tries to protect you from writing files into the root directory. People tended to screw up the operating system by dumping stuff into inappropriate places. That's why you got the warning. (You can do it, just ignore the warning). But there's a better place to work.
You should have a "DOCUMENTS" folder on your computer. I made a folder in DOCUMENTS called REAPER MEDIA

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This is where I can put all my work files. So, if I am working on a recording of a "Jam Session Aug 29", you will find a folder there with that name. I will copy the ENTIRE Audio folder from the SD card to that folder on the hard drive. That is where I do my work. It keeps you organized and you can immediately find you various recordings in one place. It also keeps your SD card safe. Pull the SD card and put it away.
Also, the comment about "not having anything on the right side" is because it takes a bit a time for Reaper to create the image of the wave form. Since you have got tracks showing, you should now see an equal bunch of files with the extension of "REAPEAKS". For long sessions, it takes a longer time to paint the picture of each track. If you are working on the SD card, its much slower than the hard drive, so that just makes the process take longer. Thats another reason to use the hard drive. Once those are created, it will keep those files updated.
I don't know how big your drive is, but for $70 you can buy a 2 TB external hard drive at your local office supply store. That will hold enough audio for hundreds of projects. My laptop only has a 256GB drive, so I will dump things onto an external drive when I am finished. That way I don't fill up the drive, which I could do quickly.
As for the ASIO error, you need to set up Reaper to use your internal sound card if you don't have the Zoom connected. Under OPTIONS PREFERENCES change the device from the Zoom to something like WAVEOUT Windows Media Mapper. Otherwise Reaper will try to send the audio to the ZOOM, and if you don't have it plugged in you won't hear anything and it gives you an error.