If you are using WampServer locally, copy the Wordpress directory to the www directory of your WampServer installation. To find out where that is, click on the WampServer icon in the system tray (notification area in Windows 7), and then click on the 'www directory' listing in the menu. Once where you know where that is, you can copy and paste it to that location. There are other options, but this is the most convenient to get up and running with WordPress quickly.