PKHeX doesn't support launch arguments besides executable names.1) File->Open; change the extension filter to All Files (*.*) then select the pkm file.
2) Drag the PKM files into the window, then drag the PKX file out via the side panel quicksave (which is to the left of the Main Tab).
3) Alternatively, you can just import a folder via Tools -> Load/Dump Boxes, then dump them back to another folder (which will save as .pk6)