Your Valheim server's world can be taken offline and played locally. You just need to download the files from your server and place them in the correct location on your computer.
There are two files that need to be downloaded from your server and saved locally, these are:
These files can be found in the worlds folder in your server's main directory. Once inside this directory you will see two files, make sure to download both of these files by clicking on the file names.
Next you will be asked where you would like to save the files. When presented with the Windows Explorer type in "%appdata%", and proceed up one directory by clicking "AppData" on the top bar. A folder names "locallow" will be in this directory and inside that folder will be another sub-folder called "IronGate". (This is the studio who makes Valheim.) Enter the folder "Valheim" and finally "worlds".
Save both of the files here, and the world from your server will be available to play locally next time you launch Valheim.