you do have to have a testing server set up for doing database development in Dreamweaver.
In some cases, it is possible to use your remote web hosting server as a testing server in Dreamweaver, but it really depends on how the host is set up. Some hosts will not allow an outside computer to connect to the mysql server, some require you to register your IP address to be able to make the connection.
though it is _possible_ to use the remote host, I dont recommend it. It would bne much better to set up a local testing server.