Do not click on it. Right-click on cmd and run it in administrator mode. Then go to the directory in command prompt. Then run windows_fastboot_update_rom.bat from there.
I did the flash which seems to be fine. But got the below error at the end.
[f2fs_init_sit_area: 556] Filling sit area at offset 0x00600000
C:\Users\Computer\Downloads\xiaomi.eu_multi_MI11_V12.5.1.0.RKBCNXM_v12-11-fastboot\platform-tools-windows/make_f2fs failed: 3221225477
fastboot...
I used a different Windows machine and allowed Windows to update the latest driver. It worked. The request has been sent. Now the waiting game for the next 167 hours.
Tried everything multiple times. Used two different computers.
The computer detects the phone fine on other apps as I used Xiaomi ADB/Fastboot Tools to remove some Chinese Apps. So it's only the unlock tool that doesn't detect the phone.