When using FrontPage (or SharePoint or Expression), before publishing, your website has to be converted into a FrontPage "site" (or if using and earlier version of FrontPage, a "web"). Note: Images below are taken from Microsoft FrontPage 2003.
In the "Web Site Location" box, enter a URL like the following (Use https):
Ensure that the checkbox "Encrypted connection required (SSL)" is checked as shown below. Then click Next.
If you are using Windows 7 and this still does not work, try the steps for SharePoint Designer 2007, but do so knowing that we do not support SharePoint Designer.