In the Manage Sites dialogue box click New then Site:

Up pops the Site Definition dialogue box!

1. Create a name for your site. This is merely an identifier Dreamweaver uses to keep track of multiple sites. This name will not effect your actual web site in any way. Make up a name!
2. Leave the HTTP Address box as it is for now... even if you do have a URL.
3. Click Next to proceed to step 2.