One of the great benefits to working with Umbraco Cloud is that you won't have to set up a server and then install Umbraco CMS.
This can be achieved with a few simple clicks in minutes when you create a new project with Umbraco Cloud. You can actually run two environments on Cloud, Development and Live, with two separate file systems and databases.
You'll need to clone your Umbraco Cloud site to your local machine and you can start using it with IIS. Webmatrix, Visual Studio or VS Code are the easiest ways to do this and you're free to use any tool you want. You don't even need to worry about setting up your database because that's all handled by Umbraco Cloud :)
Simply copy the clone URL then enter it in your git client or terminal and your site will be downloaded to your local machine. In this example we're using the git client, Source Tree.
You'll now need to run your website locally. In this example we're using Webmatrix.
After clicking "Run" in the previous step you should be directed to your local website URL. You can now get your content from the Umbraco Cloud. Simply, fill in your credentials and click "Restore", this will get all of the latest content and media and ensure that all references are up to date.
You're ready to Rock n' Roll :)
For further assistance, check out this video from Umbraco HQ.