Ok firstly you need Apache installed you should get Apache 1.3
http://httpd.apache.org
Secondly there is a PHP .exe file that you can download [http://www.php.net/get/php-4.3.6-installer.exe/from/a/mirror]
From there you will need to open the httpd.conf file located in the conf folder where you installed Apache and add the following
ScriptAlias /php/ "c:/php/"
AddType application/x-httpd-php .php .phtml
Action application/x-httpd-php "/php/php.exe"
Change the c:/php/
To the directory where PHP has been installed
Also find the DocumentIndex and add index.php at the end of the list
Restart the server