This usually happens when you are using the remote server as the testing server. When the wizard pages load, they sometimes need to communicate with the MySQL server to return column names for the table you are working with. When Dreamweaver tries to access the database, it will try to create the following file on the web server at:
<URL Prefix>/_mmServerScripts/MMHTTPDB.php
Where <URL Prefix> is the URL Prefix you set on the testing server tab of the site definition.
When using a remote testing server, Dreamweaver can sometimes loose the FTP connection, then it will hang on the "Loading Database Schema" dialog.
using a Local Testing server instead of the remote server can help alleviate this problem.