Instant WordPress is a portable WordPress development environment which makes it easy to test themes, plugins and more on any modern Windows PC (XP or later).
To get started, just run the download file and it'll extract its various components into your preferred folder. Currently this includes WordPress 3.3.2, Apache 2.2.15 (Win32), PHP 5.3.2 and MySQL 5.1.46-community-nt, but don't worry, they're all portable and won't otherwise install anything else on your PC.
Launch Instant WordPress and a simple console points you in the right direction. Click "WordPress Admin" to launch WordPress itself, for instance. You can open your Plugins and Themes folders in a click, and administer your MySQL setup, while clicking WordPress Frontpage will display your dummy site. There are even built-in posts and comments so you can get a feel for the look of a new theme right away.
Plainly there are limitations to what you can do here. The version of WordPress bundled with the tool is now a little out of date, and the Instant WordPress developers themselves point out that the program "is not suitable for live websites and should only be used for testing and development".
Still, if you'd like an easier way to test a WordPress setup - or maybe you're a total WordPress beginner and want to get a basic feel for how it all works - then Instant WordPress is perfectly adequate, and well worth the download.