Use Xampp or any turnkey local solution for starters and testing. From there i recommend ClearOs ( http://www.clearfoundation.com/ ) to run and experiment. If you need an even easier solution i'd say you go for hosted. There are tons of good virtual server or reseller deals if you want to have some freedom but even easier is a plain webhosting account. Still you should be prepared to do a lot of research and read some forums.

Many servers are setup to accept and delete any mail that doesn't correspond to a valid email account.
This is due to the massive amounts of spam flying over the net.
If the server is sending out a failiure notice to the forged reply address in spam messages, the messages will bounce back and produce a constant volume of bounced messages. (old messages doesn't get discarded until the next bouncing message occurs)
Thereby the mailserver is often configured to just delete unvalid mail.

Failiure messages is also a type of spam; messages are sent to a mailserver with the intended recipient as the reply address.
The mail bounces and the message is sent to the recipient. In essence spam has killed the failiure message.