I would first like to thank Fab for a very well put post. Fab, you have done a fantastic job of explaining your answer.
Now mesuita, if I may be so bold as to answer your question for Fab, I believe that he is saying that it's a lot easier to develop a site on your 'local' machine and then just upload the site to your hosting company.
He (and I) further suggest that you develop it on a linux OS vs a Windows OS. You can set up most as a dual boot if you want. But, I finally quit that and just trashed the windows OS and installed LINUX full time. Takes some getting used to. But, I think it was worth it.
So, to reitterate. You still should get a hosting plan from a hosting co. Then put your website on it. And, don't forget to change your nameservers.
I can give you one on one if you need. Just PM me.
Paul