For the most part you can just download LM Studio and go from there. It provides a chat interface and an easy-to-use interface to browse, load and use LLM models. The engine: it is abstracted away by LM Studio, if you want to dig deep it's llama.cpp as the runtime. Weights are the files what you download, they are the models for practical purposes.

I definitely would recommend LM Studio as a learning environment, because it surfaces a bunch of things in relatively clear-minded ways. I am very grateful for it.