Have you taken a look at the Getting Started Guide or any of the other CSS Menu Writer documentation? Here is a link to the support page with the guides and other information:
In regards to the preview do you see a preview rendered in the preview area? What is the OS and version of DW that you are using? Please post back with this info and any other details that you can come up with for the issue you are experiencing so that we can look into this further. Some screen shots might be helpful if you can provide them.