Indeed. You will need a web server (Do a web search for Apache, they have Windows and Linux versions) to test your pages. You will also need PHP. Google that as well. Dreamweaver creates HTML files but it is incapable of doing PHP and MySQL as far as I know - you'll need to do it yourself. If you get all three of these things properly set up, let me know how you did it.
(Kidding, I think I got it set up)
We'll be here to assist you in setting up. Oh, and if you're running Windows XP, then keep this tidbit in mind; it makes no sense now but it will later: THE MYSQL SERVICE MUST BE ENABLED. The lack of knowledge of this tidbit caused robpomeroy and myself endless grief.