Contextual filter on Views Block file not found
I think you are just a bit confused about the structure of the page drupal creates so hopefully this might help to clarify it all.

When you create a page display in Views with a contextual filter, you basically are creating a menu item / path on your website. In this case, it's probably something along the lines of my-index/%, with the % being the contextual filter.

You then define that filter to be a tax term.  So, you can then type in  www.yourhost.com/my-index/foo and www.yourhost.com/my-index/bar and www.yourhost.com/my-index/baz and get the $content of those pages filled with the fields of the view you created filtered by foo, bar, or baz.

Or any other term a user puts in in place of the %.

This way you aren't creating umpteen individual views, eg, you don't have to create my-index/foo, my-index/bar, my-index/baz, etc etc page displays for each and every possible tax term.  

Plus if you say show me everything if the contextual filter is missing, then you can also go to www.yourhost.com/my-index and get a list of everything.

Now to blocks.  These aren't the main $content of your page, but rather little boxes of additional information off to the side.  They can be placed pretty much on any page you want through the block admin pages, you just go in there and tell it what region you want and pages and off you go.

So, in this case, let's say you created a page display called my-index/% like the above.  In this example, let's also say that this view lists the content on your system sorted by Title.  So, in the main content area of this page you'd have that listing of your content tagged with that tax term sorted by title.

But let's say you wanted a block off to the side listing the very latest content tagged with that same tax term.

Here, you would create a block display of content sorted by creation date in descending order and limited to 1 item.  Here you would also add a contextual filter, but in the supply the default argument, you would tell it to take it from the url and specify where it is, in this case the 2nd argument.

Then you'd save everything and go to the block admin page and down in the list of blocks available you'd see this View Block.  Assign it to a region in your theme and then in the pages, restrict it to my-index/* and then it will show up on that page along with your main content.