Ok.
1) You need to go through an install process. That means putting the downloaded files in particular folders and configuring PHP to work with your system. Read the 'install.txt' that comes with the download. It tell's you everything you need to know
2) You can either ...
run PHP at the command prompt (shell). This will work once you've gone through the install process.
... or ...
run PHP on a web server. You'll need to download and set up apache as well.
If you are using windows, goto the HTTP Server section. Just need the installer (.msi file) whish is just like a Setup.exe, rather than the source files that need compiling into a program (like the C process).
This isn't hard but this isn't the right forum ... goto the apache site and study the docs relating to the HTTP Server. You'll get plenty of help there.
Once this is installed, there will be some additional bits to do to configure apache to run PHP.
See how you get on.
PS For maximum flexibility, you should download a copy of Perl to allow cgi programs on apache. (There'll be a windows installer of this as well!!)
