.STE files are merely site definition setingss that you have created and exported from DW.
If this is a new installation of DW, you don't have any .ste files yet.
Go to Site > New Site > Tell DW where to find your site files folder on your local hard drive. C:\yourSiteName. See screenshot.
Under Servers: input your remote server's FTP log-in credentials. Root Directory is whatever server folder your hosting provider told you to use for your public_html files. This varies by host. If unsure, check with your web hosting provider for details.
Nancy O.