If you have a local testing server defined you can preview with this. If you define your testing server to point to a live web server you can preview the files like this as well.
CSS Menu Writer creates html and php code. The code that CSS Menu Writer produces will only work when it is served from a web server. This is true for any web technology other than simple html. The menus will be viewed from a web page, so the pages must be served from a web server. It does not matter if the server is local or remote, only that you can access it.