People creating complex websites often like to work on their own computer and to move the whole site to their web server when it is ready.
To do this you will need to install a webserver (such as Apache or IIS), PHP and MySQL on your local machine. There are a number of tools that make it easy to do this.
For Apache you can install XAMPP and then perform a normal web based Joomla! installation on your computer.
The Joomla! Quickstart Guide and accompanying video explain XAMPP installation in detail.
For IIS you can install the Windows Web platform.