This particular way is not as straightforward as designing and building a site whilst it is online - don't forget that other than search engines and similar non-human things will probably be the only ones looking at your site for a while even if it is unfinished unless you start advertising it before building it. But if you want to build offline then try going to
XAMPP
This is a free service which lets you set up a localhost so you can code and play with webby stuff offline. I've never got it to download successfully but maybe you'll have more luck.
To be honest, you might be better off buying a domain for next to nothing from somewhere like GoDaddy, get a host such as TotalChoiceHosting and then when that is set up for you (they'll let you know when it's all ready) download an FTP client (I recommend Smart FTP) and you are good to go. Your web host should offer a tutorial.
WordPress can be installed really easily and is far more simple to mess with, although it is not offline - if you want to go down that route, I can tell you how to get started