Do you have a localhost web server set up?
If not, then first install a WAMP or MAMP web server environment. You need the web server (Apache), the MySQL database, and PHP. (the AMP part of LAMP, WAMP and MAMP).
Once you have a working web environment, then simply put the MODx files in the web root of your web environment and run the setup from your browser: localhost/setup
Or, even easier, get yourself a free lab account with MODx Cloud (or SiphonLabs or whatever I'm supposed to call it now).
https://modxcloud.com/