We should amend the error message to say HOW to install this thing. It’s not the first time this question came up, and maybe the current error message is too technical
read_raw_eeglab() is for use with EEGLAB .set / .fdt files, not for CSV files. Do you know how these files were produced? CSV is a more or less arbitrary format, so we cannot provide a straightforward way to read this. But if one know the structure of the data, one can (manually) import it anyway – it just requires more work.