Actually, there are two other ways you can get PHP for windows (but they are both v similar). If you have the latest version of MS installer on your computer (i.e. if you have ME/2000/XP) then you can download the .msi file. If you dont have the latest version (i.e. on 95/98/NT) the you can download the .exe version.
I would like to point out that downloading and installing PHP by using these files won't give you as much functionality as if you download the .zip version.