Go to the Files tab in the compilerDo you see an index.htm or index.html file in the list?
If you don't - this is the reason
My guess is either you picked the wrong folder (use Edit Scan Folder and pick the right one), or you haven't created this file.
The index.htm or index.html is the first page of the ebook that will be displayed
And no you need to tell it what in what page. The idea is you create 1 HTML file for each page. The first page's HTML file is called index.htm or index.html, and then you add hyperlinks between them
I don't know which program you're using to create your text - if using Word check out the step-by-step instructions in Getting Started - actually check them, whichever program you're using to write the text 
Good luck
