GoDaddy's MySQL servers do not allow connections from an outside server.
You will not be able to create a connection to the go daddy server through Dreamweaver.
It is a better practice to install a local php/mysql server for testing and development, then upload the files to the remote server, change the database connection details with the correct information for the Godaddy server for deployment.
See the learning resources page:
for tutorials on installing a local testing server and defining a dynamic site in Dreamweaver