Have you defined a site in DW yet? GS-01: Defining a new site | Learn Dreamweaver CS5 & CS5.5 | Adobe TV
Without that step, pages will look very much like the one you show. DW is designed to have all of the site's files, folders, images, etc within one local root folder. If you have not created a local root and placed all of your files there your pages won't work.
Another thing that can cause what you're seeing is working from a .zip archive without extracting the files to a folder on your desktop. All dependent files linked in the code of a zipped html file (<img> tags, links in the <head>, etc) will show as broken until they are extracted and a site is defined in DW.
Could either of those issues be your problem?
If not, please post a link to one of your problem pages, the picture doesn't say much about what's happening behind the scenes.
