I assume because you haven’t put any files in the directory it’s using?
Usually MAMP puts an index.php page in that folder when it’s getting setup from scratch. You need to navigate in there and put in the files you want.
However, – it may also be that you haven’t setup MAMP Pro properly yet to allow access to the files/folders within your computer.
On Server settings under “General” what Ports do you have for Apache/MySQL. Also – what do you have under “Run Apache/MySQL server as user” – if you have www/mysql here instead of your username this may be the problem.