there is no big mystery about that. simply copy php4ts.dll to c:\windows\system32 (or c:\winnt\system32) dir, and copy php.ini--recomended to c:\windows [c:\winnt]\php.ini and edit it with your favorite text editor - edit things about register_globals, sessions, uploads and smtp and ftp, eventualy;
now fire up iis, add the isapi filter (path\to\php\installed\dir\SAPI\php4isapi.dll and tell the iis that you want to handle php files THRU php4isapi.dll (php.exe is cgi-bin file, he\s executing EVERYTIME you request some php page -it isn't problem when you developing, but if you configuring public server, it can REALY SLOW DOWN your server) - under 'home directory' tab, configure.. button.
HTH