You set up Netbeans, but have you actually installed PHP on your machine?
Netbeans is just an IDE, it helps you write code and find errors, with code hinting, etc. To actually run anything written in PHP you need to install the PHP parser on your machine. Typically, this is installed as a web server module.
You've not said what type of machine you're using, but installing PHP and Apache is very simple. There are pre-built installations that you can use on Windows (EasyPHP or Xampp) and MacOS (Mamp) and on Linux you can just install Apache and PHP through your package manager and it will configure them both for you.
I've not used EasyPHP on Windows 7, but I've heard it works just fine. I would recommend EasyPHP over Xampp for Windows for you, as it makes things like plugin installation as easy as ticking a box, which is better for newbies like yourself
Once it's set up, you access your PHP scripts through a web browser at 'localhost'. This is just a way of telling your computer that you want to access the local web server. You won't be able to open the files directly from Explorer because your computer won't be trying to run them through the PHP parser that way.
And even though there are step-by-step instructions, installation questions feature prominently on many forums and mailing lists. I think we just both see this from very different view points. I just see a valid use-case for pre-built packages.
The NuSphere Technology Platform is an integrated distribution of the most recent versions of Apache web server, PHP, and Perl along with other necessary development and administrating tools. Don't waste hours bringing the components together... NuSphere has done it for you.
I ran across this about a day and a half ago. It was very easy and quick to install. It doesn't have a debugger. NuSphere has the PhpED product for that which has a free trial period.