If you are working with an interpreted language (such as PHP, Ruby, or Python) you will need to first setup a server for your project before you can view it in Espresso's preview. There are two different options:
Setup a remote server. Espresso projects can have any number of servers associated with them, so you can setup a development subdomain or similar testing area for your site, upload your files there, and then upload your files to the live server once you are finished testing.
Setup a local server. The two most popular options here are using the built-in server that comes with OS X (you can enable it in the System Preferences) or installing a package such as MAMP.
In either case, once you have setup your server (and uploaded your files there, if necessary) you will need to choose Preview ⟩ New Live Preview (command option P) or click the button in the toolbar. A new preview will open (likely only showing the contents of your file), and you can enter the URL to your testing server directly into the address bar.
When you have made changes to your files (and again uploaded them, if necessary) you will need to refresh your preview using Preview ⟩ Refresh (command R) or the button in the toolbar.
However, if you are working on your site's styles you can use CSS overriding to see your styling changes in real time.