First things first. The thing you circled in red is a security feature within IE 7 to stop certain scripts from running. You can ignore this.
Open dreamweaver up.
Choose the manage sites option from the sites menu.
This box should appear:
Select the site. Now press the edit button and the following window will appear.
Make sure you are under the advanced tab.
Set the access to FTP.
Set the ftp host to your website domain but instead of http:// change it to ftp.
Set the host directory to www
Set the login to your cPanel username.
Set the password to your cPanel password.
Tick the first two boxes at the bottom of the box. This means that everytime you save a file within dreamweaver it will automatically load the changes up to your site.
Now click on Testing server on the left hand side under category.
Add the same settings. The server model should be PHP MySQL and the access should be FTP.
Set the same properties in the first box.
To test they work on both press the test button. You should get this box appear:
It should now work. Post back with any problems you have! Now you can just open up any html files you have, save them and it will upload them to your directory. have fun!
Peace