PHP is a bit of a pain if the ass on a windows system if I remember correctly.
First I would download apache (you'll need that before PHP). Get apache 1.3, as 2.0 seems to be a bit harder to get functioning yet.
http://www.apache.org/
Then download PHP.
http://www.php.net/
Try and follow the instructions the best you can and if you have problems getting it working, post back in here and we can try and help you.
CSevey