Hi,
php.exe is the cli version (command line interface) for use on e.g. a command prompt.
php-cgi.exe is the cgi version if you want to enable php as cgi in e.g. apache.
php-win.exe is a windows version of the php executable without a console. So it doesn't start a DOS console if you try to execute it. Use that executable if you want to e.g. execute some PHP jobs with the windows scheduler.
Thomas