To set up and run apache (web server) I'd suggest:
http://www.apache.org/
To set up and run MySQL, I'd suggest:
http://www.mysql.com/
To set up and configure PHP, I'd suggest:
http://www.php.net
Alternatively, you could simply download a 3-in-1 piece of software that will install and configure all three so that the server's are up and running, and then all you simply need do is configure httpd.conf, php.ini and config.inc (phpmyadmin) to get it all working correctly. There are a few of these packages out there, here is a list of the ones I know about (both Windows & Linux versions):
http://www.hotscripts.com/PHP/Software_and_Servers/Installation_Kits/