Document Data sources are mapped to forms in the current application. If there are no forms defined in the current application then there is nothing to choose from.
If this was a new application then this would be the correct experience. You will need to create a Form and View and THEN create your first XPage's
Follow this free tutorial and it will walk you through the complete process for a simple application.
http://www.tlcc.com/admin/tlccsite.nsf/coursedetails.xsp?ccode=XP85INTR