Are you asking about the Files Panel (F8)?
Or are you asking how to define your site? Go to Site > Manage Sites... Enter a site name and local folder on your primary hard drive. Click the Server's Tab and enter your server's S/FTP log-in credentials. If unsure what those are, ask your hosting provider.
Hope that helps.
The Files Window Toolbar (the icons for Connect, Get, Put, Synchronize, Expand, etc) won't show in the panel until you set up servers in your Site Definition...