before starting, make sure you have created a site in dreamweaver:
http://www.webassist.com/tutorials/Define-a-dynamic-site-in-CS5
create a new blank PHP page and save it to your site, have that page open before starting the wizard.
with Security Assist and Data Assist, it is a good idea to create the database connection before starting:
http://www.webassist.com/tutorials/Create-a-PHP-database-connection