An easy way to do this is to use this plugin.
You install it on your blog. Create a 'package' which includes the database and files. Get XAMPP working. Create an EMPTY database and DO NOT install WordPress. Instead, copy the two files the plugin created for you to the folder inside /xampp/htdocs/ where you want to access your website. Then fire up your browser and access 127.0.0.1/my-website/installer.php - or whatever the address is of your XAMPP config.
After installing, it will help you update your URL's to your localhost.
I'm not sure of your WP experience, but this is definitely an intermediate level task and could become frustrating so be patient and have fun :)
Hope that helps :)