Can not seem to apply Swept and/or Weldment

Hi,

I am quite new to Solidworks. I was trying to create a cage body from an image which I created using 2d sketch and then did the Project Curve.

But I am facing problem. I can not seem to apply the SWEPT feature and the Weldment is only on selected entity. I am attaching the file.

SolidworksParts And Features