You should also download a local install webhost. WAMP and XAMP I see posted all the time, so I guess they're popular. It depends on your localmachine OS that dictates what you download. I can't help you configure it, but it looks like there are a lot of people here that can (I always download each item separately so I can mix and match as I see fit for testing).
You'll want to get a good IDE as well. I use eclipse, but am considering changing since I'm unhappy with the approach zend took with the 5.4 implementation to the eclipse PDT, so I'm considering trying netbeans again (been years, didn't like it before). But I need an IDE with a debugger, so that's important. If you don't do a lot of debugging, lighter weight ones are Notepad++ for an example which offers syntax highlighting and (I believe?) code folding.
header('HTTP/1.1 420 Enhance Your Calm');