A web server is server software whose primary function is to store, process and deliver web pages to clients. Pages delivered are most frequently HTML documents, which may include images, style sheets and scripts in addition to the text content.
Some features may or may not work without a server.
In cases where a feature may not work it should be documented.
Actually I recommend using Visual Studio Code and Live Server for working with Web Export as shown here.
Video from YouTube user STWebDesigner on setting up XAMPP.
Mac OSX comes with a server installed already. If you are fine using a command line then you can use this for testing. If you don't know what a command line see the next video.
If you would like to use a server with an easy to read UI and control panel use the following XAMPP install video.
The video also shows installing Brackets. This may be useful as well but is not required.
Typically, to install a server you simply install something like XAMPP and after it is installed you start it.
Start your server according to it's documentation and then export your web pages to the root folder. The server software will help you with this.
You can test that the server is setup using the server field and server test button and after export you can launch a browser to that page using the server link button.
In the Export Artboard dialog enter the URL to the server.
When a server is setup a server link button will appear after export next to the copy url button and the url button.
It will create a link using the value in the server field and the name of the page. It simply adds the first value to the second value.
For example, if you put a server as, "http://127.0.0.1/'" and the page name is "myPage.html" the link will be "http://127.0.0.1/myPage.html".