After getting your server environment up and running (local or hosted), you will need to create a database (using a database tool like PHPMyAdmin). Make sure to note what the database name is, the username for that database and the password for the database, as well as how to connect to the database (server hostname, the port number the database service is using).
Then unzip WordPress and copy the files over to the htdocs folder of your server (or webroot depending on your server environment).
Then open up the wp-config-sample.php file in a text or code editor. This document is well documented so follow the instructions.
Put in the database information (database name, username for database, password for database, and database hostname/IP address and whatever port the service is running off of).
Save your changes as "wp-config.php".
Then make sure your server and database are running and point your browser to the domain name of your wordpress site (if local this would be "localhost/path_to_wordpress_files" )
You should then see the installation page for WordPress where you'll set up and admin account and finish configuring WordPress.