Kris is right.
You need some kind of database software (MySQL)
Some kind of Webserver (Apache, IIS)
A CMS (Joomla, Moveable Type, Wordpress)
If you don't care to learn all the web server stuff, download a program like XMAPP, which is like a web server + database server all in one and takes much of the hassle out of initially setting up a website (ie don't need to setup PHP etc) if you just want to toy around with a website on your home pc.
If you do want to learn the webserver stuff, find a patient nerd friend to teach you, or do a short course, there are plenty available that'll give you a good grounding in web app stuff.
Once you've figured out how to run a site (and it really isn't as hard as it sounds, esp if you know a little html & php) you should spend most of your time learning the intricacies of a CMS. Given that most webhosting is pretty straightforward these days, you are better off spending more of your time on really knowing a CMS and how it works from top to bottom.
I've taught myself everything I know, and I'm doin ok at it all. Personally I prefer Joomla, as its open source and far and away the most flexible CMS, with literally thousands of addons & plugins that will let you do just about anything you could want to do on a website. Documentation is sometimes a bit sketchy, but there is a big community with help and support if you need it.
Hope that helps, Good luck! If you decide to use Joomla and get stuck, flick me a PM and I'll see if I can help out.