"In the afternoon"
di - is primarily used to mean "IN" with seasons and parts of the day
Examples = Time of the day 1) in the morning - di mattina, 2) in the evening - di sera 3) in the afternoon - di pomeriggio 4) in the night - di notte
Examples = Seasons 1) in winter - d'inverno, 2) in summer - d'estate 3) in autumn -d’autunno 4) in spring - la primavera
In used with an article such as il (nel), la,(nella) le,(nelle) i(nei), lo(nello) , gli (negli) are used when talking about where someone or something is
and then of course there is In, used without an artcile
Some additional information, which folks may find useful:
Nouns ending in -o are usually masculine. I find this article very helpful: http://italian.about.com/library/weekly/aa051000a.htm
I don't think any of nel pomeriggio, di pomeriggio, or al pomeriggio are actually wrong, and you can find instances of each in various contexts by Italian speakers. For Duolingo to say they are wrong is nonsense, if DL is supposed to be about understanding and being understood.