an easy way for novices is to get the free BadBlue web server, a tiny Win XP server that has a PHP setup wizard built in.
Download here: http://badblue.com/down.htm
It fires up a browser immediately and runs the server after install. Click on the help tab, select PHP Setup Wizard and follow the instructions. Let me know if you need help from there.
There's also a tutorial on BadBlue on the main phpbuilder page.