You can do it either way. You of course will be transferring via FTP so you can use a third party FTP program to transfer the files or you can use Dreamweaver's built in FTP program to upload the files. I prefer Dreamweaver's FTP program. You setup the FTP settings in the site settings. If you haven't setup your website using Dreamweaver's site settings that's your first step. The window menu > site will open up the site pane.
Abraham