For Windows, the following installer should suffice for most versions of Windows:
PHP 4.3.7 installer [1,048Kb] - 02 June 2004
PHP is similar to ColdFusion in that it parses blocks of code identified by opening and closing tags. It's been a few years since I've worked with ColdFusion, but their tags were something like:
<cf>
// CFML stuff here
</cf>
In PHP, you use:
<?
// PHP code here
?>
or better (and recommended):
<?php
// PHP code here
?>
This website has some pretty good tutorials if you want more info:
http://www.sitepoint.com/article/php-amp-mysql-1-installation