You didn't put it in your cgi-bin directory did you? lol. Because if it is in there it won't parse them as php it will parse them as cgi.
Plus have you installed php on your local webserver properly? I.e; set your web servers config to execute php files?
I use php with dreamweaver mx, I'm a bit of a begginer but it does work. I'm working on my own form mail script and I have a question about that but I will ask in a seperate thread :-]
Dreamweaver mx is cool though, I like it's ftp functions, straight from the interface with hardly any clicking u can dl your whole site or upload it all in 1 shot, or even upload single files when you save them automatically. And there is also the code snippets function, where you can write your own chunks of code such as a form etc, and save it in there so you can insert them at your leisure with only a couple of clicks, saves you time, but then again php can do that by using variables and including a file with the html set as variables and calling on them in your pages. But for people who are using only html and css I think it's a great program!