You need to read the installation docs http://docs.elgg.org/wiki/Installation and then it is easy.
Is your "local server" an Unix server? You need to setup your Unix environment first in order to be able to follow the installation guide. In general, you need to setup a web server, and a database server and php environment and configure it first. I you need help, please do feel free to ask. -- Gordon
I'm assuming you have Windows, so here's a link to a YouTube video: http://www.youtube.com/watch?v=vQNWjzY8nGo
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