This question has been answered by BobRay. See the first response.
A separate MODX install on the server as WillyP describes is one common way.
Another is to set up an Apache server on your local computer with XAMPP (or LAMP).
Once you have the server set up, you can move a copy of the existing site to your local machine by following the steps here: http://rtfm.modx.com/revolution/2.x/administering-your-site/moving-your-site-to-a-new-server.
You should know up front that MODX is not particularly good about having a "staging" site and then deploying changes to the live site. The most common method is to use the second site for testing and occasionally cut-and-paste things from there to the live site.