Hi,
on Windows you can do it the following way.
First make sure that you use the zip package and not the installer version of php.
Unzip the file to a folder of your choice, e.g. c:\php. Do not use a path with white spaces.
Copy php4ts.dll and all files from the dlls folder to the system32 folder. Copy php.ini-dist to the windows folder and rename it to php.ini
Edit the httpd.conf and add the following line to the end of the LoadModule block.
LoadModule php4_module c:\php\sapi\php4apache2.dll
Add the following two line somewhere below that line:
AddType application/x-httpd-php .php .phtml
AddType application/x-httpd-php-source .phps
Restart Apache and it should work 🙂
Thomas