You need to create a new page and save it to the site and have that open in Dreamweaver before running the site assist wizard.
Once you have created a site using the site assist wizard, you will need to create a new Dreamweaver site definition, create a new page and save it to the new site and have that open in Dreamweaver, you will then be able to create a new site Assist Site in the new Dreamweaver Site.