First, make sure you have properly defined the site and that the stylesheet file is in the site folder.
Then, make sure you have a .css extension on the filename. If a file type can't be determined by XP, it will give a generic 'type' icon to it.
To be able to see the extensions on file names in XP, open an "explore" menu by right-clicking on the Start button, do Tools > Folder Options... then on the View tab, uncheck "Hide extensions for known file types".
Although Dreamweaver will work perfectly well without the file name extensions showing, you lose a handy item of feedback with them hidden. If you can't see an extension, you don't know whether you have left it off (the windows icon suggests that you did...) or it is just not being shown.
I found out what it is - I need to the add the style sheet to the page for DW to pick up it exists
Ah, yes. My Dreamweaver doesn't read my mind, either!