Goates is right - download Thunderbird, then follow the instructions online in Gmail to configure it.
In Gmail choose Settings->Forwarding & POP.
I'd recommend choosing the option to Enable POP for all mail and to keep a copy of the mail in Gmail (You've got a Gig of store, may as well use it for backups!). Then click on the link for the cient confiiguration instructions and choose the one for Thunderbird 0.x (You'll have 1.0, but I can't see there being a bg problem)