You need to add some lines to the httpd.conf file in the conf directory of Apache.
I've setup APache and PHP4 on a Windows 98 PC. The lines that I have which include PHP are as follows:-
ScriptAlias /php4/ "C:/php4/"
AddType application/x-httpd-php .phtml .php
AddType application/x-httpd-php-source .phps
Action application/x-httpd-php /php4/php.exe
You'll need to alter the lines if PHP is installed in a different directory.
Hope this helps.
If you still have trouble, I'll e-mail you the file and also php.ini.