You create the site yourself on your local computer. Take a look at the following help page that describes the function of a Dreamweaver site: Dreamweaver Help | About Dreamweaver sites.
There's also a help page that describes the very simple steps needed to define a site: Dreamweaver Help | Set up a local version of your site.
If you're still stuck, there's a video tutorial here: Define a site in Dreamweaver | Adobe Dreamweaver CC tutorials. It was created on a slightly older version of Dreamweaver CC, but the process is identical.