AKA: He's The Man Who's Name You'd Love To Touch
Each individual X-Files episode is, ultimately, futile in the grand scheme of things. Mulder and Scully can't prove the existence of aliens, capture a supernatural being or otherwise accomplish their goals, or else the series would be over, or at least the dynamic would change a lot. It's part of the contract with the audience, and how well we agree to take that futility depends on how well the episode presents it.