The way you are trying should'n work as you are creating a page by creating a menu item. Rather you should visit you block administration page at www.yoursite.comadmin/structure/block . Here you will see list of all your blocks and available regions in your theme to assign to the blocks.
The way you are trying wouldn't work as you are creating a page by creating a menu item. Rather you should visit your block administration page at www.example.com/admin/structure/block. Here you will see the list of all your blocks and available regions in your theme to assign the blocks.
Here is a screen shot. In the screen shot where you are seeing the select list with none as selected this list will let you place your block in the available region.
Here is a screenshot:
In the screenshot where you are seeing the select list with none
as selected. This list will let you place your block in the available region.