XAMPP
About 5 years ago a fella named Scot Putney who was teaching a Perl programming class at my college turned me onto XAMPP. XAMPP is an easy way to setup a web server and database with a lot of common configurations for local testing.
I've been using XAMPP for years for local development of my websites and it comes pre-configured with Apache, PHP, Perl, MySQL, and PHPMyAdmin just to name a few goodies. It's a simple to install package and you can get going right away. Although XAMPP is not recommended for production environment because it's configuration is not focused on security.
It's also a good idea to figure out which versions of PHP and MySQL your webhost is running and try to get a version of XAMPP that most closely matches. While not much usually changes between one incremental version of a language, database, or webserver you can avoid some problems that might arise between disparate versions by being aware of the differences or installing the same version.