The first thing that you'll need to do is to install Apache + PHP + MySQL. One easy way to do this is with a package such as http://www.wampserver.com/en/
You will then need to copy over the on-disk files. The easiest way to do this would be to use a program like WinSCP from your VDS to connect to your current webhost using SFTP/FTP, and downloading them directly to your new web root folder.
Then, export your database(s) on your old host, using a program like PHPMyAdmin. Create the same database user on your new host (also likely with PHPMyAdmin) and import those databases. It would be simplest to use the same database names.
Double-check the configuration for your site to make sure that it doesn't have specific paths that are now incorrect, and that the database name and login match what they need to be.
Almost done. Visit your site locally through http://localhost
and make sure that it works properly.
Finally, update your DNS entries (the "A" records at your DNS provider) to point to the IP address of your VDS. If your current webhost handles your DNS right now, you may need to switch to using a DNS server provided by your domain name registrar, or use a free DNS service. This is something that they could help you transition to.