No Nios II target connection paths were located. Check connections and that a Nios II .sof is downloaded.

Firstly, worth noting that Quartus 14.1 doesn't support Windows 10. Having said that you'll probably not see an issue - I hope.

What target (hardware) are you connecting to? And, more importantly, have you loaded the right design (.sof) into the FPGA? The error message indicates that, although you can talk to the FPGA via the USB-Blaster, it can't find a Nios design in the FPGA that matches the one it's looking for.

Cheers,

Alex