Create a folder somewhere inside your computer the define your website:
1) Your local root folder should point to that folder you just created specially for this web site.
2) Define the "Remote Info". I suppose you have the FTP login and password.
Once your site definition is done, you should be able to switch from "Local View" to "Remote View" from your Dreamweaver "Files" panel. Depending on your web hosting configuration you can look for your site files in public_html, www, htdocs or browse though all the folder you can see in the remote view to locate an index.htm or index.html or index.php file. The folder containing that index file is most probably your remote host directory.
You can then download all your files by just selecting the files or folder pertaining to your website.
Once you are done, just switch back to local view and you should see your web site files.
It's always a good idea to work on a local copy your web page, preview it first to make sure the changes you made are correct before uploading that file to the server.
Unless some server-side programming is involved and your local environment does not allow you to run say PHP files, then you can still create a testing folder on the actual web hosting server.