You can run an application locally using the Windows Service Console without a license - it will just start in trial mode and close down after an hour or so, after which you would need to manually restart the service.
Milind, it is not clear what steps you have taken on that instructions page, but here are a few things to check.
After you have done these 3 things and imported your application mda file, you should be able to manually start the application, it should connect to the database, and perform the synchronization commands to update the data structure. If it does not happen, please post the entries in your console log which should tell us what is wrong.
The final part of your question is about running under IIS (which is not really needed for running locally). To do this you need to follow instructions from mendix to do this, and it will involve using some sort of rewriter. However, you need to get the service installed and running before addressing this.
Can you use a Mendix cloud sandbox for a trial?
No this will not work. When deploying on own server you need a license otherwise it will not work. You can run locally or use the free sandbox.