FileZilla that is part of XAMPP is an FTP server to server files by ftp from a server. Filezilla also has a client program for free download. When people talk about FileZilla the client program is normally what they are referring to.
There is a tutorial ( I'll see if I can find the url to post) on the Joomla documentation site on how to install XAMPP and Joomla. It has good screen captures of both installs (XAMPP and Joomla) and walks you through both.
Really though, all you need to do to install XAMPP is download the -installer.exe version and double click the file to run the install. Install XAMPP anywhere except the programs directory. It will not work properly from the winsows programs directory on some versions of windows. I suggest C:XAMPP. Once done you can double click the icon for XAMPP and from there start apache and mysql.
To "load" your Joomla files into your XAMPP server all you need to do is copy the Joomla full package files into the directory htdocs or a subdirectory under htdocs.
You can then run the Joomla install to set up Joomla.
I wish to place a copy of the Joomla files from a full package into a directory called joomla15
I extract the Joomla full package files to C:XAMPP\htdocs\joomla15 and this puts all the Joomla files in the subdirectory joomla15.
Next I would enter into my browser: http://localhost/joomla15
and this will take me to the Joomla install screen as I have not yet set up Joomla.
I follow the install screens entering the requested information and sample data if I want.
***NOTE: XAMPP default database user is root without a password. I suggest you make a password for the database user root in the security setup screens of XAMPP, it makes life much easier in the long run and is simple to do.***
When I have finished installing Joomla, I remove the install directory so I can access the site by entering http://localhost/joomla15/
in the browser. Enter the Joomla admin by using http://localhost/joomla15/administrator/
in the browser and the superuser admin and the password you created during install. You can then change admin to your name or whatever so you become the Joomla superuser.