Download to my GoDaddy hosting or Adobe GoLive?

[adamophoto]

I am building my own website using Adobe goLive, and am interested in using coppermine. I found Coppermine through my hosting company, GoDaddy, and if i Download it from there i believe I am downloading it to my hosting account, not to my hard drive.  I think that means i would have to upload photos to my hosting account before using coppermines features to resize and such... Should I download it directly to my hard drive from this website instead? and integrate into golive instead of having to use it through GoDaddy...
Am I making any sense?  My assumption is that i should put it on my computer, and use it in GoLive, then upload the finished product.... am I wrong?
Thanks

[Nibbler]

Coppermine runs on the webserver, it's not a desktop app and should not be 'used' in GoLive (whatever that means).