Usually this happens when a local testing server is not defined for the site.
Go to Site -> Manage Sites
In the site manager, select your site and click edit.
On the servers tab either edit the remote site and check the Testing sever check box, or add a new server and set it to be the testing server.
you may want to install a local testing server for development. See the learning resources page for details on installing a local testing server:
resources.php