I used the "dexseq_prepare_annotation.py" provided by DEXSeq to transform my "gtf" and "dexseq_count.py" to get exon count successfully. Then I have run DEXSeq. To my surprise, all padj in result is "1". Can you tell me the errors in my analysis?

My codes in DEXSeq are following:

countFile<-list.files("D:/Users/Administrator/Desktop/cold/output/DT",pattern="txt$",full.names=TRUE)
gffFile <- list.files(D:/Users/Administrator/Desktop/cold/output/DT, pattern="gff$", full.names=TRUE) 
sampleTable <- data.frame(row.names=c(paste("treated", 1:5, sep=""), paste("untreated", 1:5, sep="")),
                          condition=rep(c("knockdown", "control"), c(5, 5)))
dxd <- DEXSeqDataSetFromHTSeq(
  countFile,
  sampleData=sampleTable,
  design= ~sample + exon + condition:exon,
  flattenedfile=gffFile

I got:

converting counts to integer mode
Warning message:
In DESeqDataSet(rse, design, ignoreRank = TRUE) :
  some variables in design formula are characters, converting to factors

Then I ran the code:

dxr <- DEXSeq(dxd)

I got the output:

-- note: fitType='parametric', but the dispersion trend was not well captured by the
   function: y = a/x + b, and a local regression fit was automatically substituted.
   specify fitType='local' or 'mean' to avoid this message next time.
Warning messages:
1: In MulticoreParam(workers = 1) :
  MulticoreParam() not supported on Windows, use SnowParam()
2: In vst(exp(alleffects), object) :
  Dispersion function not parametric, applying log2(x+ 1) instead of vst...

Finally, I ran the code;

NY<-as.data.frame(dxr)
NY$pvaue
NY$padj

But the output showed:

>NY$padj
   [1] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
  [67] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
 [133] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
 [199] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
 [ reached getOption("max.print") -- omitted 2320 entries ]

> NY$pvalue
   [1] 4.483972e-02 3.221151e-02 3.590747e-02 2.318606e-02 1.137251e-02 2.145131e-03 4.802402e-02 3.626523e-02 2.234388e-02 3.669871e-02
  [11] 2.046010e-02

I have no ideas with my errors. Can anyone help me solve the problem?

It means there is no evidence for differential expression. Either because there is none, or it's underpowered and/or technical variation introduces noise. Use PCA to explore your data and check for batch effects. You find info in DEXSeq and DESeq2 vignettes to get started.