New to wordpress, need help

you can install wamp (or an equivalent) onto your pc.

Use that to install wordpress on your pc.

(wamp, if you are not familiar sets up apache/mysql/php on windows….everything you need to have a test server environment)

You do need to be running WP to really test a theme

Not yet, if you are going to do a setup in a wamp type test environment.

You install everything on your computer
http://codex.wordpress.org/WordPress_Installation_Techniques#Installing_WordPress_Locally

….test, customize, tweak, add posts, etc. Get things all ready to go to your hearts content.

Once you are ready to go live, you move the appropriate files, the database, and edit your config file to point to the new live DBs location.

Detailed instructions for moving would be here:
http://codex.wordpress.org/Moving_WordPress

For sure, good luck and enjoy!