If you have access to a web server already configured with PHP and MySQL, you can always use that for your web development. But unless you have a high-speed connection, it is not always your best option. Developing locally allows you to test modifications with little or no upload delay.
Accessing MySQL remotely may not be easy, either. You may have to Telnet or SSH into your server to manually create databases and set permissions from the command line. Your web hosting company will advise you on how best to do this and provide you with any password it has set for your MySQL access (as well as for getting into the server in the first place).
I recommend that, at minimum, Windows users install a program such as PuTTY, available at http://putty.org, for Telnet and SSH access (remember that SSH is much more secure than Telnet).
On a Mac, you already have SSH available. Just select the Applications folder, followed by Utilities, and then launch Terminal. In the terminal window, log in to a server using SSH as follows (where server.com is the name of the server you wish to log into and mylogin is the username you will log in under):
You will then be prompted to enter the correct password for that username and, if you enter it correctly, you will be logged in.
To transfer files to and from your web server, you will need an FTP program. If you go searching the Web for a good one, you’ll find so many that it could take you quite a while ...