The "Nothing can be sent from the desktop" message just means that you need to do this from the "Start" screen or in a Store app instead of from the "Desktop". If you get "There's nothing to send right now" from the Start screen or Store app, then it means that you do not have any external device (ex: projector, printer, etc....) connected to send anything to, or the app doesn't support it. For example, printing from within Store apps.
The tutorial below can help show you more about "Second Screen".