attaching locally stored mdf to SSMS
As Aaron Bertrand says in the comments, having a .mdf file as the method for adding a database to a server is unusual.  Normally you should have a .bak backup file.  If at all possible, contact your source and ask for backup to restore.

If you have to use an .mdf You need to copy it to the folder on the server, where it will become the .mdf of the database when it is live. Normally you would do this with an RDP or share connection to the folder. Be aware there are several issue you may encounter doing this.  

See these related posts for the answer to questions you have not asked yet, but probably will.


Attaching MDF without LDF
How to attach an .mdf file that was not properly detached?
Is is possible to recover a database from the &#39;raw&#39; files (.mdf and .ldf) of the old server to a new SQL Server instance on a new server?