Like Kamper said, many editors have built-in FTP clients. So, when you open a file, you go File > Open Remote and connect to the FTP server and get your file. Whenever you save the file, it's automatically uploaded to the server in the background. After that, you jsut have torefresh the PHP page in your web browser.
Crimson Editor is a free editor for windows that supports this feature, if you'd like to try it.
As far as I know, this is how nearly everyone works on these types of things. It's how I've been working on them for the past half-decade or so, anyway.