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