I have Apache 2.0.45, PHP 4.3.1, MySQL 4.0.12 on Windows XP Professional. It took a little to get them configured properly, but my biggest problem was knowing whether to use / (as if Unix directory) or \ (Windows directory) in the configurations. Now that they're set up, I'm golden... if only I knew how to program. 🙂
I did find that you want to interrupt the Apache installation and set it up for something like C:\Apache (It defaults to C:\Program Files\Apache). The reason is that some extensions or packages, such as PHP's PEAR system, don't work with spaces in file paths; or, at least, this will make it much easier for you to get them working.
Good Luck!