Hi,
there are two PHP packages available. The installer version and the zipped version. The zipped version comes with everything you need.
In php.ini set extension_dir to the directory where all the php_???.dll files are (e.g. c:\php5\ext). Then enable the extension by changing the php.ini line
;extension=php_gd2.dll
to
extension=php_gd2.dll
Then restart apache.
EDIT: Make sure that you have a valid php.ini in the windows directory.
Thomas