You need to install the Database and Server Behaviors Add-in from the Adobe store. Go to Window->Browse Add-ons and you should be able to install it from there. From that point you will be able to create Recordsets.
Your friends over here at WebAssist! These Dreamweaver extensions will assist you in building unlimited, custom websites.
These out-of-the-box solutions provide you proven, tested applications that can be up and running now. Build a store, a gallery, or a web-based email solution.