So different stations will support different types of industry. Some only copying/researching blueprints. Some actually manufacturing stuff.
If you look at the bottom of that window, you will see some of the white little icons are blanked out for some of the stations. Those will tell you which facilities they support at which station.
The station you have selected, which is the one in the picture that i took for you, Sobaseki X Moon 1 - Caldari Navy Assembly Plant, only has 1 icon that is white, and the rest are greyed out. This means you can only build things in that station, and you cannot research anything.
You must bring your blueprint to a station that supports material research, and then try again. Moon 12 Propel Dynamics, supports it, as well as a bunch of citadels you could use if you are okay with that sort of thing. Only problem with using citadels is that your research may be interupted if the owner fails to fuel or takes down the citadel. Your blueprint will be returned, but you will have wasted the time it took to research it.