As you are using XAMPP you go to http://localhost/phpmyadmin, create a blank database, and then import into it a backup you have made of the online database - using the SQL Tab at top middle of the page, then Browse, and finally click 'Go'.
You also need to edit both configure.php files if the ones you have are from the online install.
If the online database you have is an osCommerce database then it won't work with Zen Cart.
Vger



