That site was a little confusing at first!

To be more precise:

• kiwix.org/en/applications/, scroll down to kiwix server.
• get a wikipedia dump in .zim format. AFAICS you can either get it from kiwix or get a database dump from wikipedia and convert it into .zim format.
• the rest, I’m guessing, is just running the server and pointing it to the .zim file.