In many cases, you can't. Hosts often disable this function, so check with them. A MUCH better way to go is to create a complete developement / testing environment on your local system, which means installing and running Apache, PHP, and MySQL on your computer. This will allow you to recreate the setup that will be on the host and test independently - which is a really good idea once the site goes live and you'll be able to develop and test updates without fear of messing up the live site.
Here's an excelent artical on this topic: http://www.adobe.com/devnet/dreamweaver/articles/setting_up_php.html
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Lawrence Carmer - *Adobe Community Professional*
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