If you go to Macromedia exchange and search in Dreamweaver Extensions for 'insert doctype' there is an extension for DW4.
Then, just use the snippets tab in the Code panel to insert what ever you need, probably html 4 transitional, or strict.
Try to use strict, I use xhtml 1.0 strict to make sure I have more forward compatible code that will be easier to adapt down the line if browsers become less legacy.

I almost forgot, when opening a new document, in MX anyways, you can check 'Make Document IE4 comatible' under the New/Html/Standard window.