You IDE (Integrated Development Environment) may give you the warning, "No grammar constraints (DTD or XML schema) detected for the document."
This is just a warning (happens with many other xml files) and you can ignore it or disable the warning in your IDE.
If you start up your application server (container) and get no errors then SiteMesh is is ready to go. However, SiteMesh will not do anything yet. Continue to Start Using SiteMesh in 10 minutes.