the zip package does not have an installer that sets everything up for, you have to manually configure PHP and your webserver.
the installer has a standard Win32 setup app that copies all the files for you and configures some webservers (IIS, PWS, Xitami).
my suggestion for newbies on WinXP who want a basic dev setup is to go with IIS (which comes with WinXP Pro) and PHP installer. This is the easiiest route.