Before you will be able to view the php pages in your site you must ensure that you local server is setup to work with php and that you are serving up the files properly. You should test this out by making a single php page that has only this line of code in it:
<?php phpinfo(); ?>
Save this page with a .php extension then setup a DW site including the local info and the testing server info. You should be able to browse to this page and see the info about your php setup. If you get any other result then you will need to check the configuration of your local testing server. Once you are able to view php pages you should not have any problems converting over your existing pages.