If you want to debug your local machine without any remote physical machine or nested virtualization (like VMware Workstation, VirtualBox, Hyper-V, etc.), you should use local debugging.
Generally, you can use most of the features of HyperDbg. Still, you should be cautious because if you unintentionally change any operating system's kernel structure that you did not suppose to, then a BSOD will happen.
Some features like a break to the debugger and step kernel-mode instructions are not possible in local debugging; however, you can use these features for user-mode apps without any limitation. Of course, you can use almost all the kernel-mode features.
For local debugging, you can run .connect local the command to connect to the local debugger.
HyperDbg> .connect local
local debugging (vmi-mode)
You can then use the 'load' command to load your module (for instance, vmm module).
HyperDbg> load vmm
loading the vmm driver
current processor vendor is : GenuineIntel
virtualization technology is vt-x
vmx operation is supported by your processor
vmm module is running...
When you connect to the local debugger, you are operating inVMI Mode.