To work locally and test you might want to have a local testing server. If you have it setup like this you can go to control panel > administrative tools > odbc and setup a new system DSN. When it is setup there you can then go into DW and in the db tab add a new DSN connection, then select the DSN from the list.
If your host has the DSN setup you should be able to specify your hosted site as the testing server and access the DSN in a similar fashion.