Today I'm going to install a Magento locally using MAMP PRO in my MacBook.
Note: for Windows users use XAMPP.
1. Set up a new enviroment in MAMP PRO
2. Use the web browser to access to it. Verify it's working.
3. Access to your PhpMyAdmin
4. Create a database and optionally import Sample Data.
Download all files you need from: http://www.magentocommerce.com/download/noregister
5. Browse again your site and the Install Wizard will show. Follow my screenshot:
Maybe you will be not able to log in in your backend (admin). It happened to me. Follow this other post to solve the problem.