How do I open local files using heidiSQL?
(This part lifted from my answer here...)

The first thing to note is that an .sql file is not a MySQL database. It is a script file containing SQL statements. You would run such a script against the database platform for which it was written (using the SQL dialect for a specific SQL database engine) to create the actual database.



From comments to other answer:


  I was wondering if there is a way on Heidi or another program to do this without setting up a server.


No, you need a server somewhere. If there was any stand-alone tool that could "graphically manipulate" an .sql file (containing DDL, I presume) then it would have to have its own MySQL server embedded in it.