The SFTP window shows your computer's files on the left and nothing on the right (since you aren't yet connected to another computer).
Now you'll create that connection:
1. Click on the Quick Connect button. 
2. When the "Connect to Server" box pops up, fill in the Host Name (the name of the computer where your website is located) and your UW NetID like this:

3. Click on "Connect", then enter your password and click “OK”.

Now you'll see folders on the right side of the window as well as the left side. You're connected!