Open up a .php page or create a new one.
Then go to the Server Behaviors window and click the plus button.
This will bring you to the DW Recordset that connects to a database. Work through getting that to work and then DataAssist will work.
This is a general problem with your Database configuration or site definition outside of the webassist tool. By approaching it through Adobe's documentation you will find a lot more resources and tutorials on how to get a recordset working and how to get a database connection working in that context.