For Access you should make an offline migration.
You need to follow the steps in the SQL*Developer documentation -
Oracle® SQL Developer
User's Guide Release 3.2
in the section -
220.127.116.11 Before Migrating From Microsoft Access
and create the XML file.
Then run the migration wizard but choose 'Offline' in the Source Database step and then the XML file you have created from the Access database.
Alternatively, you could use the 'Copy to Oracle' option by right clicking on Access tables from the Access database in the 'Connections' list.
If you need easy way to migrate Microsoft Access to Oracle probably it is more reasonable to review some tools specially designed to this purpose. For example:
Access to Oracle converter by Intelligent Converters
Access to Oracle converter by SpectralCore
Access to Oracle converter by Interface Computers
Hope, this will help.
I wasn't sure whether that *.xml file they referred to in the dialog box was the one generated form the access.mbe application. I will give that a try to see if it creates the database objects.