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All of the following is for importing your live site to your localhost (WAMP). WAMP is free. You can also play with WordPress without a live site to get the feel of a live site.

First of all what patv is saying is right. All files for WordPress gos it the C:/wamp/www/somesubdirectory/{your WordPress files}

So if you haven’t yet, get WAMP and install. When you get to the site, you’ll see many different languages. Pick yours.

http://www.wampserver.com/en/

You will also need a free text editor. A good one to start with is Notepad2.

http://sourceforge.net/projects/notepad2/

Now the tutorial.
This is a XAMPP tutorial. Follow it other than the XAMPP part. The two important parts are the wp-content from your live site and the phpMyAdmin.

http://video.answers.com/how-to-copy-online-wordpress-blog-to-xampp-247682389

I hope this helps some out there. It did me and I’m running WordPress locally and phpbb from my live sites.

Try here. A full list of different platforms.

I use WAMP on my windows and LAMP for my Linux box.
Hope this helps.