Do you mean “page content” as is content of your posts or markup of the web page?
Content content
WordPress content is stored in MySQL database. To completely copy a site to your local computer you would need not only copy of files files, but:
- Web server with PHP support to run it
- MySQL server to import copy of database into
Running a local copy is staple practice for developers, but it’s not too friendly for novices. There might be a better way, depending on why do you want to make changes outside of the site.
Page source content
When WordPress produces markup for a site’s front-end part it is using an active theme to do so. Theme files are stored in theme directory, typical case would be wp-content/themes/[name].
However much of the WP popularity is due to how themes can use it’s API to produce a lot of complex output, in relatively little theme code. So while theme might be initiating specific output, it might actually be produced by WP core functions.
The customization of that is really case by case.