Most hosts will not allow remote access to the db. Due to this you will need to setup a local testing sever and configure your DW site to work with the local info. We have a couple of docs on this that can be found on the support page under Dynamic Development Tutorials. Once you have your testing server setup and the site defined in DW you will be able to develop and test locally.
When you go live with it you will need to copy over all of the files in your local DW site to the server, and export your local db and import it into your live db.