I downloaded EasyPHP. Took a few minutes to download then all I had to do was download the module they had for WordPress. In 5 minutes I was working with WP locally. And it is free.
It's so great to finally have it here where I can experiment without having to go on the web with it. I have only just started playing with it but it looks like it will let me do everything I need to so I can develop the WP site and then move it online. And it was very easy.
Just thought I'd share for anyone else planning on trying this and having problems. I see on the WP forums that a lot of people do have issues doing this.