I'm actually having the same problem. I followed this great little tutorial at http://educhalk.org/blog/how-to-copy-your-online-wordpress-blog-to-xampp-on-your-local-computer-or-usb-drive/
After creating the local site, I first deactivated all my plugins, then went to phpMyAdmin in the live site and exported the database. I then opened the sql file and changed all instances of my "live" url to the localhost url. I then imported the data to the localhost site.
However, when I try to look at it, I get my live blog's header with a "Page Not Found" error message.
What could be going on?