If you can get access to a site that allows PHP, you may not need to install anything other than say, an FTP client such as FileZilla
If you do wish to install, but arent familiar with your system, it might be better to use something pre-packaged.
On Windows I'm currently trying out Phperl, though mysql is giving me some trouble.
I have done the install ClevaTreva mentioned 2 years back on this computer, so those may be just some conflicts that you as a new user wont face.
You probably should get a book, or search for an online tutorial.
Of course, use http://www.php.net as a valuable resource.
The PHP Manual on php.net is especially useful, you should download it.