Sounds like you don't have a project available in your workspace. I had a fresh installation of Studio rev 70 on another machine and tested this without a project available.
First navigation path (as you indicate), same error as you indicate.
Create a new project File->New->Project->XS Project (I named mine "Testing").
Now follow same path as before and voila, you now have yourself a "container" aka project to put your role into.
Happy HANA,
Justin