I'm starting 2017 tax return. I already did 2016 and 2018 with turbo tax. However, I can't get the information transferred over. What am I doing wrong?

Where is your 2016 return?  You need to have the file ending in.tax2016 on your computer to transfer into 2017.  If you used the online version you need to download the .tax2016 data file.

For starters, my screen shows you using the online version of Deluxe. You can not file a prior year tax return with the online version of TurboTax. As of this date, it is only possible to file a 2018 tax return using the online version of TurboTax, and that will end around mid-October when the IRS closes e-filing for the 2018 tax year permanently and forever. Therefore, if you completed the 2016 tax return using the online version of TurboTax *AFTER* Oct 15, 2017, you have a major mess here.
Next, if you completed and filed your 2018 tax return "BEFORE" completing your 2017 tax return, then depending on your specific and explicit situation you could have major errors that will lead to major problems with the IRS on your 2018 tax return, down the road in a few months.
Finally, to complete a 2017 tax return you would have to download and install the CD version of TurboTax 2017. Based on the wording in your post, I think you may have done that and are using the CD version of TurboTax 2017. So to import data from your .tax2016 file into the TurboTax 2017 program, that .tax2016 file must be physically on your computer and in the documents/turbotax directory.
In order to import the prior year return, that can only be done at the start of your tax return. So you may need to delete the .tax2017 file and start over so the program can find the .tax2016 file and give you the option to import it, or not.

Thanks, I figured it out, I won't let this happen again. Yikes.