I had the same problem.
It turns out I was confused because of the multiple directories named “mysite”.
I wrongly created a urls.py file in the root “mysite” directory (which contains “manage.py”), then pasted in the code from the website.
To correct it I deleted this file, went into the mysite/mysite directory (which contains “settings.py”), modified the existing “urls.py” file, and replaced the code with the tutorial code.
In a nutshell, make sure your urls.py file is in the right directory.