Yes, the advanced options require a database to keep track of all sorts of things such as image data, tags, and directories.
It will create all the tables it needs with the prefix "kfm_".
As for uploading the files every time, you can work directory with the files on your server in Dreamweaver by changing from local view to remote view or testing server in the file window, but that isn't necessarily recommended. If something was to happen, it's always good to have a backup.