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.
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.