The code is written in PHP, and that's usually found on a webserver. You just need to have a PHP interpreter installed (that includes curl library).
The easiest way to do that is to use an all-in-one bundle of Apache/PHP like
XAMPP which makes your local system (Windows, MacOS or Linux) into a webserver with PHP capabilities. You can put the WXDailyHistory.php script in c:\xampp\htdocs directory, then run localhost/WXDailyHistory.php?... to fetch the data/return the CSVs you want.
I think it would be more difficult to just install a command-line version of PHP with the needed features .. the XAMPP program does it for you.