Downlaod and install MAMP for a easy life, then start the server and point your browser to http://localhost:8888, the apachie server already installed is on localhost:8 0 or just localhost.
MAMP will make your life much easier for working with PHP and SQL based sites and you can access the mysql database from http://localhost:8888/phpMyAdmin
And finally localhost is not Windows only. It is assessable on Linux, Windows, Mac OS and any other OS running a webserver.
Install MAMP. It will be your best friend. It is drag and drop install, and basically has a zero conf set up. Just start it up, and copy the files your editing to the htdocs folder.
There is nothing hard about it. I don't see how they could have made it easier. Now you can preview your edits locally, instead of uploading to the host server.
As for php/mysql/apache, there are tons of tutorials out there. Needless to say it doesn't take too much effort to get virtual hosts, mod rewrite and all sorts of other things working.
If you need more help just ask and I will give you some pointers (or someone else will!)