So there are a few ways around where you are. you need to change the default envs away from the mega2560 and to BIGTREE_OCTOPUS_V1

Alternatively you could just click on the little alien/ant head icon on the left column on the screen. this is the icon for platformio.

Once you click on it a drop down menu will show up and from there you can find your board and when you click on BIGTREE_OCTOPUS_V1 a sub menu will open allowing you to build in that environment without making that change to the default envs.

Once built and without having the usb connection you can click on the explorer icon at the very top of that column on the left.

Then you click on .pio

then you can click on build

and then you can click on BIGTREE_OCTOPUS_V1 and scroll down until you see the firmware.bin file.

Right click on it and select 'reveal in explorer' When that window opens up you can simply right click the firmware.bin file and send it to a microSD card you have plugged into your PC. Put your microsd card in the Octopus and it will flash itself when you turn the power on.