You could also consider installing PHP on your own machine. A web server isn't strictly necessary to test PHP scripts, but you might as well install one of those as well (Apache is probably your best bet), or you'll be practicing with one hand tied behind your back.
I believe there are bundles you can get that install PHP, Apache and MySQL for you. Go over to www.php.net - I think links for them are given there. [edit: yes, there are. One for "installer kits" points at hotscripts.com.]