I want to know how to test my data, like video, music on my computer before moving them to my website.

In Site Designer (SD for short) you can preview your work in a browser to test it locally. Just click on 'Preview on' and select the browser you want to test it with. There is also an option just 'Preview'. It will show what the page looks like, but some of the functionalities will not work.

Hi Abdul,
At the the top of the SD Design window you will see an icon named Resources. Clicking on that to add the desired media to your site is one method. Now add a media element to your page form the Content tab. Then you link those media files to the element you add to your page by Clicking on the Element tab of the media element you added. On that tab, if you are using a HTML Video element, you will see Video Source button. Below that is the default media that loads with the element which is an online file. You can now change that to your local file that you added to your Resources or you can change it to an online file of your choice.
Then you can preview as Inger stated above.