I was going to make a new thread, but it seems we may have the same problem... so I'll jump on this band wagon.
I have installed PHP on my XP machine and it is not working either. I have created a simple page that just prints phpinfo(). I am able to run this page using php.exe from command line with no problems. However, browsing to it though IIS will just hang until the CGI timeout. I have ensured that .php files point to the php.exe in IIS configuration. I have also made sure that my Anonymous access account (machine/IUSR_name) has full control access to my PHP installtion folder (and children). PHP.INI seems fine. Not sure what else to check... any suggestions?