SharePoint Designer is a client application for use with SharePoint only. So to use SharePoint Designer, you must first have a URL of a SharePoint site and also have "Designer" permissions on that site. You can then open the site from SPD and create\edit pages on it. Note that the pages you create will only be available on the current site you are working with. To create a page that can be accessed on all sites of a SharePoint farm, then it needs to be deployed on the server in the ..\Web Server Extensions\14\TEMPLATE\LAYOUTS folder. I hope that answers your question.
You can download SharePoint Designer 2010 for free from
here.