Yes, that's the nature of most scripts. Whether it's a forum, members login, etc. The gist is you either download the script to your PC and configure them accordingly (some will have instructions) and then upload them to your host. Or your web host will have the function built in to your hosting account (cpanel, etc.) and you can run it from there.
Unlike HTML, setting up things like this is not just a cut and dry thing because each script will be different and may require certain updates/customization, etc.
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