TYPO3 runs on a Windows server with IIS. This setup is less common, but supported. Most examples in this book assume you're running a Linux server.
If you want a development environment on your local computer running Windows, you can set up WAMP server. It is an all-in-one installer that can set up all the necessary components in minutes. Obviously, it will not be optimized for performance, but it will be enough to start experimenting with TYPO3. Just download the installation package, and run the executable file. It will guide you through the steps needed to complete the installation.
Download WAMP distribution at http://www.wampserver.com/en.
An alternative to WAMP is XAMPP—another package containing Apache, ...