Well without SSH then you'd have to go into your control panel phpMyAdmin and backup your DB. Then FTP it to your local box.
Here is a link on doing it (just Googled it, you can search for other ideas on how to do it if needed. I use SSH so haven't used phpMyAdmin in a long time myself).[color=blue]How to backup your Mysql database with phpMyAdmin[/color]
Then using WAMP
it makes it pretty easy to setup and test your forum locally.