is it possible to create our own site by html on our desktop?
Yes you can, if your using editors like dreamweaver, coda 2, etc., and that's how a majority of the great websites are made.
I think that may answer the question.
As long as you've got a text editor (Notepad will even do), but getting a dedicated IDE may help - as mentioned by Michael.
Download all the new browsers to see how it looks in them.
If there is not any server side scripting included such as PHP, ASP.NET, Java,etc then you don't even need a web server. Only HTML files and a browser.
If you really want to learn I suggest you code yourself thru with NotePad++, or any other developers editor.
Using DreamWeaver, or any other WYSIWYG editor, can be quite productive, but you won't learn about coding.
Agree with AleMonteiro you have to start with NotePad++ and if you don't have knowledge of HTML than you can learn from w3cschool and you can also check some free website templates.
Yes You Can...
You need any text editor / notepad / phpeditor /frontpage / dreamweavior for create static web page as per your need.
Most of web design company doing this way... first create website on localhost when cross check then upload in live web server.