You need to install a server on your local machine. Try Apache. It's free and easy to install. A little googling will get you everything you need to install an Apache server.
If you want to execute scripts, use XAMPP, it will install and configure Apache, MySQL, PHP, and Perl in one easy install. Google "Download XAMPP" to find it, it's available from ApacheFriends.org and SourceForge.
Good luck.