Have you unzipped the file that you downloaded? You should see icons and stuff if you have.
There's probably some sort of text file called README or INSTALL that you'll see after you unzip the file that downloaded. Those should contain instructions, but for the most part, just accept the defaults after you being the installation.
If that doesn't clear it up, visit www.devshed.com or phpbuilder.com and look through their articles on how to install Apache, PHP, and/or MySQL.