Should I put the html file and images on my web server in order to work?
Yes, you have to upload them to your server and change all the image paths to correspond to this new address. For example
If you take a look at the bery bottom of the newsletter there is a link “View it in your browser”. The purpose of this link is to allow pepople that have trouble reading this newsletter within their mail client to click on it and to view your newsletter in a browser just like a normal web page. So you also need to change the path for this link for something like “http://www.mysite.com/mynewsletter/newsletter.html”