You need to install PHP on your windows machine. You can obtain a nice package from http://www.php4win.de that you can install, or you can grab the binary from http://www.php.net. Of course I am sure you wanted something more specific. In that case, you will need to be a little more specific in your request.
With that said, a windows IIs installation in very simple, you basically copy the files to a directory under your windows system path... I created a directy as follows and dumped the files there (c:\winnt\system32\php4). The next step is to tell IIs to use PHP to parse .php files which is done under
control panel --> Administrative Tools --> Internet Services Manager -->
right click default web site, click home directory tab, click configuration button towards bottom, click add, borwse to your PHP binary executable (in my case C:\WINNT\system32\php4\php.exe), leave "all verbs" checked, make sure "script engine" is checked, click "ok", then "apply".
The next step is to setup your php.ini file, ussually this is found under the same directory as your php executable and is probably called php.ini-dist or something like that. Make a copy of it to your c:\winnnt directory where all your other windows ini files reside and rename it to "php.ini"
The only thing left to do at this point it to restart the web server, throw a file into your web tree with the script...
<?php phpinfo();?>
and run it to see all your PHP and system info.
You can further tweek and refine the installation by adjusting the php.ini file to your specs.
Of course more detailed documentation of this procedure is found at http://www.php.net
Alan