if u want to use mysql trough php u will need a server to like apache or something..
u could install a package like
phpdev
Automatic install of Apache, PHP, MySQL, MySQL Front, PHPMyAdmin and Perl
PHPTriad
Automatic install of Apache, PHP, MySQL, MySQL Front, PHPMyAdmin, Perl, and some special modules
or
EasyPHP
Windows wizard installs the latest PHP, Apache and MySQL for Windows. Fast and efficient.
i use phpmytriad on this computer and it saved me alot of installation time, configuring things.
After u have it running u can start with it, like Quaves is saying.