(Speaking as someone who has used Eclipse / PyDev from the very beginning: Pick another option. For the sake of your sanity, use something else. Use anything else.)
Now, having said that, what you’ll want to do is ensure that you have a fully functional virtual environment set up and working. First test it outside of Eclipse to prove to yourself that it works.
Once you’ve done that, then in Eclipse, you’ll want to go to Windows / Preferences / PyDev / Interpreters / Python Interpreter. On the top half you’ll select “New…” to select the python executable that resides within the virtual environment that you want to use. (This is basically what’s documented in the link in the dialog box you’ve posted.)
After you’ve done this, you need to select “Apply” at the bottom to make it read the contents of that environment to know what packages are installed.
Keep in mind that every time you make a change to that virtual environment, you need to go to this settings dialog box and select the “Apply” button at the bottom to make Eclipse rescan your library directories to see what packages are installed. If you had previously set up your interpreter, and then later installed Django, you could get this message due to Eclipse not seeing that this package has been installed.
Ken