The folder your directory listing is showing in the image is
C:\Users\User, which isn't the same as
C:\Program Files\Sublime Text\coursera-test\site, so it's hard to say if it's working as expected or not.
Note however that it's never a good idea to store files of your own inside of
C:\Program Files; the appropriate place for your user files is in your home directory, which is usually under
From the looks of your image, your username is
user, so the image above is showing you your home directory. You should move the directory you think you created from where it is to here.
This might be why it doesn't seem to work as you would expect.