AAARRRRGGHHH!!! Dont use the windows installer to install PHP. Instead, download the windows binaries file and do it that way.
(Oh, and the CGI bit means that it runs as a CGI script instead of a module. This is less secure than the module way)
If you want any more reasons for installing the binaries instead of using the installer, you don't get any of the extensions when you use the installer. If you need to use any of the extensions, you HAVE to use the binaires.