Did you enter the "deploy folder".
See the tutorial video 9 or CP-04 that show you how to setup a slave site into a specific directory.
Typical values are
* Site ID = slave1
* Domain name = {site_url}/multisites/{site_id}
* Deploy directory = {site_dir}
www.jms2win.com/tutorial#jms12x-9
www.jms2win.com/tutorial#jms12x-CP-04
You have several video that explain you step by step how to create a slave site depending on your hosting server context.
First question to answer is your platform (unix, windows) and if symbolic link is allowed.
Depending on these answers, you have different setup available.
Have a look in the tutorial that will help you in your your first steps.