You need a “webstack” software.
It consists of:
MySQL Database server
PHP languate interpreter
Web server (Apache)
There are several packages for Windows, like OpenServer
You have to set up webserver and open install script using your browser at local site.
But, installing on localhost requires more skills and knowledge than installing on 3rd party hosting, where you have most of the background things ready for WordPress.
PS: moving this topic to Localhost installs forum