If you are self hosting...
If you want to host Wordpress on Windows, download WAMP
http://www.wampserver.com/en/ which pretty much sets up and configures itself for you.
If you are hosting on Linux, you will need Apache, MySql and PHP. It takes a little more configuration, but isn't difficult. Most distributions have pre-compiled binaries for each application in the respective repository. If you want to be a bit more bleeding edge (or have greater control over the binary, you can compile the source code yourself, its a steepish learning curve if you have never done it - but very satisfying when you 9eventually
) get it working.
You may find one or two people here sneering at PHP and MySql.
You can safely ignore them for Wordpress (and VBulletin, which also uses Apache, MySQ and PHP to great effect)
If you are using a hosting service, you may find that Apache, PHP and MySql are already installed (Wordpress may also be available, in which case configuration really is minimal.