When converting bank statements with QuickBooks Desktop, the only applicable file type is the QBO extension. Currently, the OFX file isn't supported.
Instead, you might want to visit our Intuit Marketplace and look for a third-party application that can help you import .OFX file into your QuickBooks.
To know more about the different types of files, you can check this article: File types and extensions used by QuickBooks Desktop.
Fill me in if you have any other concerns about managing bank transactions. I'm always here to help you out.