On CodeForest.net there's a new tutorial showing you how to set up a WAMP (Windows/Apache/MySQL/PHP) server that uses multiple virtual hosts.

Virtual hosting is a method for hosting multiple domain names on a computer using a single IP address. This allows one machine to share its resources, such as memory and processor cycles, to use its resources more efficiently. This is often found on shared hosting servers. [...] We can use Virtual hosts on Windows to deal with this problem. As I am using WAMP server for development, this tutorial will explain how to do it in WAMP, but other products are very similar, so you want have problems porting this.

They walk you through each step of the process, including any settings or configuration files changes you'll need to make along the way. Their configuration helps you set it up for your localhost, but it can be pretty easily moved over to a live server just by changing a few IP addresses.