I've just installed it without too many problems. Use the full install zip file, not the windows installer version.
Step1.
Copy php4isapi.dll & php4ts.dll to c:\windows\system32\inetsrv.
Step 2.
Modify the properties of the default website in IIS admin. From the Home Directory tab, click on the Configuration button, and add an application extension for PHP using php4isapi.dll. Do one for php3 if you use them.
Step 3.
Under web service extensions in IIS Admin, click on add a web service extension. Type PHP in extension name, and click on the add button. Select c:\windows\system32\inetsrv\php4isapi.dll. Check set extension status to allowed and click OK.
Step4
In php.ini, change the following directives in the Paths and Directories section (replace c:\php4 with your php installation directory):
Include_Path=".;c:\php4\includes;c:\php4\pear"
doc_root="c:\insetsrv\wwwroot"
extension_dir="c:\php4\extensions"
cgi.force_redirect=0
fast.impersonate=1
I don't remember doing anything else. If I do, I'll add it.