Setting up MAMP, XAMPP or WAMP is as easy as downloading and installing them.
Just follow the instructions and install them.
Although here at Infinum you probably won't be running Windows, it doesn't hurt to inform you about some possible issues if you do.
XAMPP is known to occupy the same port as Skype, so be sure to run XAMPP before you turn on Skype.
You can check out a tutorial on setting up your WordPress development environment on Windows here.