to my localhost.
So I used FTP to get all the files from the server, use the export thing in phpmydmin to copy the tables to a new database on my localhost, lastly I edited the wp-config.php file to point to my new database, tried to see the site, and this is what I got
Im guessing there are some absolute urls for the live site in the database so try doing a find and replace in your sql file substituting the live url with your local url and then reimport.
If you have the TXT file that you exported from PHPMyAdmin open it up in your text editor and find and replace: mysite.com to your local address mysite.local (however you have your local environment setup).
Save and then import that into your local DB and it should work.
Also, if the above aren’t the problem, make sure that mod_rewrite is running on your localhost - various kinds of permalinks require that and will 404 if it isn’t working.
Before you go troubleshooting pretty links, I’d say log into your admin and revert to the default URL structure - site.local/p?=xx
Browse around and make sure your site is functional so you have a baseline. Beyond that, yes there is some fiddling with the configs and also your .htaccess file.