You can have MySQL and PHP running locally with your IIS. To do this you will need to install PHP and MySQL on your local machine. We have a guide that details the steps needed for this. The guide is called Web Development: Before You Begin. It can be found on any of our product support pages in the General Technotes area.
In addition to having MySQL installed you will also need to make use of a GUI tool to import your db. There are many out there, SQLyog is easy to setup and use.