Download the tarball for PHP 4.3.8 or 5.0. Uncompress the tarball:
gunzip < php_file.tar.gz | tar xvf -
If you desire, create a soft link:
ln -s php_version_name php
Go into your php directory:
cd php
Execute your configure line. This can vary on what you want to do, but if you know the path to your Apache set up, it should be similar to the following:
./configure --with-apxs=/my/path/to/apache/bin/apxs
Again, you may have other lines to enable MySQL or whatever... I cannot attempt to name them all.
Run make and make install.
The installation and configuration of PHP is documented in the PHP manual and at various websites. You just need to Google. Do not run my suggestion verbatim. It is merely an outline of what you will need to do. See the manual for details.