You need to do a content scan after choosing your directory.  At the upper right of that tab for your "Content" you'll see a thumbtack.  To the right of that is an arrow.  Click that.  In that section you'll find where to scan for content.  I have mine set up to automatically find and highlight new products (which at first everything will be in a newly installed DS), but you have to change it to do that first.  After scanning, your files - or at least the folders if the formats aren't supported - will show up in the content tree.