Done a quick test for you, setup as follows:
Generator settings:
Main Carrier Frequency= 3.5mhz, with1khz AM tone, Shape=Sine, Depth=100%
DSA815 settings:
Centre Freq=3.5 Mhz, Span=6.250Khz, 10db Attenuator internal on, 10db external Attenuator in-line, Scale Typle= Log or Lin for a clearer view. RBW=100hz, VBW=100hz
Try that, that should give you what you want to see. main cariier with side bands
Hope this helps Ray.