The way of integration depends on your way of using it.
I assume you have webserver running locally (without inet access)?!
At the dojo website there are several ways of dojo integration available. Just download one of them (do not use CDN) and put the file on your local web server. Then it is available through the local url (can be relative to your site).
If you wan't to build an "offline" app without a webserver then take a look at Adobe AIR and interation of the dojo toolkit with Dojo Extensions for Adobe AIR.
Another option might be the integration together with PhoneGap or Cordova to build an offline App, e.g. for an IPhone etc. with HTML/Javascript. Win8/RT Applications for the M$ AppStore does support HTML/Javascript, too (have not tested this with Dojo).
Keep in mind there are also some security restrictions (e.g. loading and execution of JavaScript) if you plan to "release" your app as simple html file (click to open in browser).