The LAMP server is the commonly abbreated for Linux Apache MySql PHP server. This is a platform where web pages can be build/test/run using linux.
So setting up your LAMP server includes installing all those above said packages and configuring them to work together.
You can use either terminal or synaptic package manager to install these packages [and should have a working internet connection]. Anyway we may have to use the terminal for configuring them. So better move with the Terminal [Applications...
