Well, I'd never used WAMP (I am using XAMPP for my local testing) but I assume the logic has to be similar... and the M from waMp stands for the MySQL database. If not, then ditch the whole thing and install XAMPP - WP doesn't work without MySQL database.
No, you can NOT arbitrarily place .sql files all around your computer and hoping that WP will be able to find it by some magic. You have to have the database installed exactly as it is on your host, from where you got the backup. The database server will be "localhost" (as it is by default in the config file) but all the rest is up to you: you need to create the database, import the .sql file into it; and add the user, pw etc.
What applications like XAMPP (and hopefully) WAMP do: transform your computer into a "local webserver" - so all the instructions about installing WP apply exactly as on the web. Just you have a bit more control...
Also see: http://codex.wordpress.org/Installing_WordPress#Installing_WordPress_Locally