OK.
Now nothing works and I have no idea what the hell is going on.
This is what Ive done exactly.
1. Downloaded Xampp
2. Installed xampp following the instructions to C:\xampp
3. Copied the Drupal folders to C:\xampp\htdocs\
4. I have both the one folder containing all the drupal docs in it in there, I also copied the actual files etc out of that folder and directly into C:\xampp\htdocs\
5. I have the xampp running in the system tray.
6. I did made a new default.settings.php in C:\xampp\htdocs\sites\defualt\ and renamed it settings.php... There is now both default.settings.php and settings.php
7. I opened IE and typed Localhost...
8. IE is coming up the the "Internet Explorer cannot display webpage" window.
Ahh this is fustrating... I still havent got a database what ever that is as well.