you'll get the same error using the Dreamweaver Connection
open the files panel and switch to Testing server view.
do you see the Site files are do you see a listing of subdirectories and to access the site files you need to open one of them?
if that is the case, make sure to add that subfolder to the Host Directory setting.
Alsop double check the web URL, make sure it is a proper URL To access your site, it should be the Web Address you type in to the browsers address bar.