You probably havent set up your Access service application:
Create a Access Service Application
(Central Administration –-> Manage Service Applications –-> New –-> Access Services)
Started the Access Database Service
(Central Administration –-> Manage Services on Server)
Now open the SharePoint 2010 Management Shell and enter:
1.enable-spSessionStateService –DataBaseName <NameOfYourNewDatabase>
This creates a session state database and turns on the session state service.
http://www.petestilgoe.com/2010/11/sharepoint-2010-web-databases-preparing-site-wait-a-moment-and-refresh-your-browser/