The usual way is to install WordPress on your webhosting server or test drive a free webhosted limited feature version at WordPress.com. I fear experimenting with new plugins as sometimes they can break your blog and cause other database errors.
For Windows Users: I found this article to install WordPress locally on Windows XP by [Geeks are Sexy] technology news.
“I have now been running WordPress for a week or so, and I must say that I am quite impressed by its ease of installation. Running a local version of your blog is very useful because it lets you fool around with themes and plugins to your heart’s desire without having to risk breaking your live blog.”
The key requirement is to get Get XAMPP lite for Windows. This is a smaller bundle of XAMPP for a quick work around with PHP and MySQL, in contrast to the large package which contains some server or tools like Mercury Mail or FileZila FTP. And there is some technical stuff which you can follow in their tutorial. Another article teaches you about installing Xampp and WordPress locally.
For Mac Users: There is this nice article that shows you how to easily install WordPress locally on your Mac using MAMP. Well for starters, MAMP is an application that installs Apache, MySQL, and PHP on your Mac. Another tutorial tells you to download MySQL and set up a database and host wordpress locally on Mac.
And more about Installing WordPress Locally on Gentoo Linux.