Do you have a local testing server set up? or are you trying to connect to the database on the remote host server?
if the database is on the remote hosts server, you will need to check with them to see if it will be possible to create a database connection in Dreamweaver that will connect to the remote mySQL server, some hosts dont allow this. they will also be able to tell you the connection details for connecting to the database.
it's usually better to have a local testing server set up, with a copy of the database on the local server for development purposes, see the learning resources page: