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Well I use two different local servers
The fist one is: WAMP this is a complete package witch include MySQL and PHP5 youcan easily download and intergrate PHP 4.
They have a very active forum where you can get the answers to all your questions. Follow
THIS LINK to see the home page of WAMP (in Englisch or French)
The second one is XSAS (XoopsStandAloneServer)this is also a complete package with XOOPS already included. Follow
THIS LINK to see it's homepage (sourceforge)and get to the fora etc.
At this moment I prever WAMP because it uses a newer MySQL version in witch it's possible to dump your file into a previous version. I need this because mij host uses an older version)
For you when you don't need it as a testserver but as a local server it doesn't matter I think.