This all depends on which method you are installing PHP with. There is the CGI executable, and the ISAPI module. I recommend the ISAPI modules.
I'll try to do a step-by-step install in an easier-put manner than install.txt (which I hope you consulted).
First, download the ZIP of PHP. Extract all the files to a place like c:\php.
Now, look in c:\php\, and you will see php4ts.dll. Copy (do not move) this file to your system directory. Since you're on Windows XP, this directory will be something like c:\WINNT\System32\, or c:\Windows\System32.
Now, copy php.ini-dist to your Windows directory. Rename it to php.ini.
You could now edit the php.ini, but I recommend leaving it be until you know everything is working.
Now is time to edit your httpd.conf file for Apache. Start by setting DocumentRoot to a directory with a php file in it. (I don't recommend using index.php, yet.) A simple test file like the one you have will be perfect.
In your LoadModule section, add this line:
LoadModule php4_module c:/php/sapi/php4apache.dll
This tells Apache how to load PHP. It doesn't know how to use the files yet.
A little further down the file, you will find where the modules are added (AddModule). Add this line:
AddModule mod_php4.c
Now, edit your file types- I recommend searching for "AddType," seeing as there is quite a bit of a jump. Add these lines:
AddType application/x-httpd-php .php
AddType application/x-httpd-php-source .phps
The latter line is not required, unless you want to be able to parse .phps files as highlighted source code for PHP.
Now, test your script.
If you want to use index.php files, alter your IfModule for mod_dir.c:
<IfModule mod_dir.c>
DirectoryIndex index.html index.php
</IfModule>
I hope this helps. If not, try explaining in a little more detail what is happening.