In order for your database to connect in DW you will need to have the testing server portion of the site setup with the details for the server you will be testing on that has the database. If your hosts does not allow for remote connections to the database then you must setup and test it locally, then migrate it to the live server when you are ready.
Here are links to setting up a local testing server and defining a site in DW for reference:
setup local testing server
define a dynamic site in DW