Are you using MAMP or the build in apache server as yor webserver on your mac? It seems like its an issue with the path to your web folder and/or testing server.
Here is how I normally set it up, so verify yours is similar.
Choose a local site folder in your /Sites/ somewhere. For the testing server, choose you server language (likely php), then choose the same local folder there. In the testing server url, make sure the path is correct (i.e. myfolder).
If that doesn't work properly, my guess is it a config issue with your web server. And its even possible you have MAMP and the build in web server running at the same time. If you have both running, you might need to double check your site root for MAMP since it might be set to something besides /Sites/ and it also might be running on another port.
