Hi c.maytree. Welcome to the forums.
Filezilla is a tool for uploading your website files to a remote web hosting account. So you need to have signed up for a web hosting account first. There are many web hosting companies that provide web hosting space. It usually costs about 5 to 10 dollars per month. Do you have a hosting account yet?
If not, you can run a website on your own computer ... in which case Filezilla is of no use. You just double click on the files (e.g. index.html) to view them in your browser.
There are also some fancier packages you can download to your computer that mimic a remote web server. These include MAMP (for Mac) and XAMPP (for Windoze).
I would suggest that for a test site—where you are just learning the ropes—you wouldn't want to pay for web hosting space, but rather just run the test site on your own coputer. Buy web hosting space when yu are ready to make a real website for others to view.