You’re talking about when you run this script? http://interconnectit.com/124/search-and-replace-for-wordpress-databases/
After you’ve transferred your site, and imported your SQL file into your new database, you’ll notice that initially your WordPress site does not work right because the site URL is messed up.
So, before you do anything further with your new site, you upload the PHP file linked to above to your new site in the main directory where you have all of your WordPress files. Then, in your web browser, navigate directly to the PHP file and run it, and after you’re done, delete the script’s PHP file from your server.