Technical support informed me that sending a mailing to those that did not open the last email is not possible.
I use MailChimp for a client and it has this feature - quite easy to use.
If you want to use AcyMailing to do this, here is how:
1) Go to the Statistics from the last campaign
2) Download the details to Excel
3) Create a new list titled ..."Did Not Open List" - Make not of the the listid.
4) In excel, sort the sheet by "Open Date"
5) Delete all the entries that have an Open Date
6) Remove the columns that are irrelevant
7) Add a column labeled "listid" and copy and past the "Did Not Open List" listid to each row
8) Save the spreadsheet as a CSV file
9) Back in AcyMailing, import the CSV file you created into the "Did Not Open" list
10) Send you email to that list.