http://www.dickneveu.com is a remote server. ie: not on your machine. xampp has setup a server locally. ie: on your machine.
to test files locally, go to the folder you installed xampp into, look for a folder called htdocs, and place your test script in there.
lets make this your test script. test.php
<?php
phpinfo();
?>
save the file in the htdocs directory i mentioned above. then, open your browser and type this in the address.
http://localhost/test.php
if all worked you should see a page with a whole heap of info about your php installation.
from there, you are ready to start writting and testing your own scripts.
also... with xampp. if you visit http://localhost in your browser you will go to the xampp configeration page. here you can access your mysql database using phpmyadmin, aswell as set up lots of other things.
hope this helps.
ps; you said you bought some php books. any decent book should start with an explination of how a server-side scripting language works, and usually would go through and explain a simple install of that server-side language.
anyway, just thinking you may have skipped some of the book. never a good idea. 🙂