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When I open Joomla, it only allows me to add NEW pages, not upload existing .php information from the site.
In short, what PHP does, is allow Joomla, based on the URL you give it, to retrieve the page information from the database.
So what you need to do is go into your webhost's control panel and get access to the database and download a dump of the database to your local machine. In CPanel there's a backup link. Many hosts have PHPMyAdmin installed which will also allow you to export your database.
Then you need to import that DB dump file into your local database server. You can use the MySQl command line client or, even easier, you can use the free version of SQLYog or some other GUI client if you want.
Once you upload your DB, you'll need to make sure that the Joomla DB connection settings are correct (since you already have it running, the easiest thing to do is to import the live DB to the same localhost DB that Joomla is using now and let it overwrite all data).
Stop back in if you need more help. If you find yourself looking for nuts and bolts programming advice (i.e. not Joomla-specific), keep in mind that we have a PHP forum as well. Might make your head spin with some genuine code ninjas, but many people have told me that it is hands-down the most beginner-friendly PHP forum [webmasterworld.com] on the web.