According to the message on the screen.
"To use the Assets panel, you must define a site"
http://www.adobe.com/devnet/dreamweaver/articles/first_website_pt1.htm l
Open Dreamweaver. On the top menu bar, go to Site > New Site > Define your site (at least locally). Load your site files into this site within Dreamweaver. The Assets panel will definitely work once you accomplish this.
This video tutorial should help you: http://tv.adobe.com/watch/learn-dreamweaver-cs5/gs01-defining-a-new-si te/
North America
Europe, Middle East and Africa
Asia Pacific