The XAMP should install an Apache webserver, MySQL, and PHP. Once you have it installed on your system you should be ready to create your connections from within Dreamweaver and start using DataAssist and any other dynamic tools.
We have a some guides, tutorials and how to docs on getting your server and connections set up. They can be found on the DataAssist support page under Related Articles and tutorials, and also in the general tech notes area you can find the Web Development: Before you Begin doc. If you have any specific questions about any part of this please let us know.