There are several approaches you can take for setting up a local server. You could:
Manually install Apache, MySQL, PHP, etc and configure it yourself.
Install such an environment automatically using a special package, such as DAMP, WAMP or MAMP.
Use a virtual machine to set up your server in its own environment, even with a different operating system. See Quickstart, DrupalPro, Drupal-up, or Aegir-up for examples of fully loaded development VMs that can be run on any operating system.