I use Zend Studio from http://www.zend.com/
the guys behind Zend (Zeev and Andi, hence Zend) are the guys who took PHP from it's original versions to PHP3, which was the first serious development.
It's about $300, or so they tell you - but if you download it, you get a 30 day evaluation and then you lose 3-4 features (which you'll only need when you get really advanced) and the studio reverts to Personal Edition, which is free and fantastic.
When you install it, it offers you the choice to install apache and php automatically too, which i find fantastic. It also installs two web applications - zend server center and information center - into your apache http root, which help you configure all sorts of stuff.
When you have these going, I recommend you install the mysql database from http://www.mysql.com/ and then, if you are on windows, download the chm (windows help file) edition of the php manual, with user notes, from http://www.php.net/downloads
sounds like a lot to do, but it's the quickest and simplest method i have used so far.
then just keep asking questions on the board. Guys here are really really friendly as long as you use a bit of initiative (ie have a go, try the manual, search for previous posts on the board).
If you can't find what you're after, and still want to teach yourself (which it sounds like you do), ask for some pointers - and people will post topics for you to read up on.
so yeah, welcome to the forum
adam