It depends, if you want to use HTML (this also includes creating the complete website by clicking around in frontpage), you can just save all the files in one folder on your computer (or 2 folders
)
But if, on the other hand, you'd like to use a CMS (see one of my previous posts in this topic) or write some code like PHP for example, you will need a special server program. I don't know enough about this to fully explain it to you though, it will probably take you some time to figure out how to set up a server on your own computer.
Use the force 
I hope someone else can explain this a bit more.
Good luck,
Gert