Hello Lauren and welcome.
Do you have a webserver configured on your developement environment?
You can find a "How to install" on wamp documentation here: http://wiki.cmsmadesimple.org/index.php ... Windows_PC and a visual how to here http://www.youtube.com/watch?v=SdVsnIemcJk
In CMSMS Templates and Stylesheets are saved in the database. If you want to manage these as external files you should use Template Externalizer module http://dev.cmsmadesimple.org/projects/externalizer
How to "download" existing CMSMS site & set up staging serve
Re: How to "download" existing CMSMS site & set up staging s
On my websites, I set up staging and production installs in parallel folders on the web server. I copy production to staging prior to upgrading CMSMS or modules, and implement the change on the staging servers.. Once the changes are validated, I switch the pointer in CPanel and the staging server now becomes production.