You get that dialog when you are authoring only a page, not a web site.
First thing you need to do is click on File > New and create an actual web
site using the one page template (you can use any template, but one page is
probably easiest).
Then click on File > Import and browse to your Access database, allow
FrontPage to create the fpdb folder for you, and then create a new page.
Click on Insert > database > results, and you will see the connection
FrontPage just created for you available. Select it, and then go through
the wizard to create a Database Results region.
Now, if you created your site on your C:\ drive, you will not be able to
actually see the data, because the results require ASP, which requires you
author on a server. But, once you publish your site to your server, you
should be able to see all the database content.
If you want to get more complex, check this out:
http://support.microsoft.com/default.aspx?scid=kb;en-us;287993