Yes, Xampp will set up a local server on your PC.
You CAN build your website offline, then upload it as a whole. However, you do NOT need to build your website offline! Xampp is NOT required to build a WordPress-site, you can edit the whole thing directly online.
I guess you are used to editing individual html-files (which contain the content, i. e. text and links) on your pc, then upload it via ftp. Forget that, that’s not how WordPress works.
The content is not stored in files but in the database and organized and edited using the Dashboard (= Administration-Area). Of course you could edit the database directly to change the content, but that would be pretty stupid and defeat the purpose.
How the content is displayed on your website is determined via css and php files.