You need to connect up the actual decoder you want to use and let JMRI identify it. That will test your programming "system" from end to end. As Wouter said, you need the motor connected so the decoder can create the current load pulse that is used to signal back to the programmer when a programming step completes, such as setting a CV.
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Normally, this is part of adding a loco to the JMRI roster, so you might want to start there.
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You will want to set the loco's active address, usually it's a long address type, typically to match the loco's number on its number boards and paint or decals.
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Once the decoder type is identified, and a loco entry is made in your JMRI roster, you should try programming on the main when adjusting the sound volumes; bell, whistle, and horn types, and light operation modes. I find it's much easier that way, since the changes made show up immediately. Just make certain you've specified the address of the loco you want to program.
