Setup instructions for Express Checkout are here:
http://www.zen-cart.com/getpaypal
You'll also find a shortened version of them in your Zen Cart admin in the Modules->Payment area, after clicking on the PayPal Express Checkout option.
Your webserver will require CURL support in order to use Express Checkout.
If you need help setting up CURL on localhost, please refer to webhostingtalk.com or any other server-configuration website for assistance on your specific environment.
You can use the PayPal sandbox for testing if you like. There is an option to enable sandbox mode, which can be found inside the payment module settings in your Zen Cart admin. The sandbox is a developer tool more than a storeowner tool. As such, using the sandbox is a matter outside the scope of Zen Cart support. Please refer to https://developer.paypal.com/ for sandbox matters. You generally don't need the sandbox to test basic PayPal transactions. Simply perform some live transactions and refund them if you wish to avoid the service charges. See this wiki article on testing PayPal with Zen Cart.