I had a conversation with @greybucket on Twitter about design, he uses WampServer in order to run WordPress local. I had no success with WampServer, the exe-files I dowloaded were corrupt and could not be installed.

I went looking for another server software and found XAMPP for Windows. Then I followed Installing WordPress Locally Under Windows XP and got it up and running. Now I run WordPress WordPress locally and can test themes and plugins without messing up my blogs.

Update March 17,2009.
I went back to using a sandbox, a WordPress installed at my host. That gives me the option to use the sandbox from several computers.