PandaN's way is more elegant, and more useful to you in the long run.
For developing on my own (W98) home environment I went with the quick and dirty one click installation of EasyPHP which includes Apache/PHP/MySql/PhpMyAdmin as well as a wrapper to administer the whole package from, and it also sets up the configurations so you are 'live' upon installation. A couple minor bugs and some of the errors are in French, but it has been working well for me.
http://easyphp.org/
Whichever way you go about it, security is something you should consider. I didn't get burned, but I did hafta find out by accident:
http://phpbuilder.com/board/showthread.php?s=&threadid=10208595