It's a good idea (not a requirement) to have a testing environment so you don't have to worry about messing up your production server. It also makes development much faster. You have to have a PHP server somewhere whether you use a local or remote. The advantages of using a local are huge and since it can be setup for free, you might as well do it right.
Here's an article that should make it easy for you:
How to set up a local testing server for Dreamweaver