make sure you open the "index.php" for the main site, not the one from your theme's folder.
Still not working, all I see is a blank page.
This tutorial shows exactly how to work with Wordpress in CS5. It should work if you do exactly what they do
Also - here is how to setup your site: http://tv.adobe.com/watch/learn-dreamweaver-cs5/simplified-site-setup-in-dreamweaver-cs5/ - in particular, see the testing server setup at 2:40.
And - for wordpress, you'll need to make sure that your site is properly configured to run locally on your computer (including that you imported the database locally, and you updated the wordpress configuration files)
I have a feeling that you are not technically minded enough to run a sql server on your local machine, nor a lot of other stuff that is required...
The reason you are getting this error is because this page is normally run as an include to a lot of other files/pages.
So index.php in the themes folder is NOT the same as the index.php in he web root folder (the main one under your domain name).
So... I suggest you either create a development domain you can play with changes on or perhaps copy the theme directory is something like development and then in the wordpress admin you can preview the changes by selecting that theme (without activating it).