If you prefer to test new WordPress features on a test site (a good strategy), the server concerned is likely to be behind a firewall on an internal network. If this is the case, went you want to update a WordPress plugin or theme, WordPress will typically popup a dialog box with ftp details to allow ftp access to the server. Of course, you can setup an ftp user to allow updates via ftp to happen via this method. However there is an easier way.
You can set an option in the wp-config.php file which allows seemless updates of the various WordPress objects. The wp-config.php file is situated in the root directory of the WordPress install. I would suggest you backup the file before you change it unless you are very confident in what you are doing.
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