To host from your own computer:
Download Apache HTTP Server, Apache2 would be good.
Run the installer.
Download the zip package - you tried to download the PECL stuff, which is good, but first you need the zip archive containing PHP itself.
If your mirror does not yet have the file, then just wait, or use another mirror.
Extract the archive to say, C:\php or C:\php5 if you happen to want to use both PHP4 and PHP5.
Edit Apache's httpd.conf as per the PHP Manual instructions on installation for Apache2.
Now, concerning databases.
PHP5 uses SQLite, which I happen to like because it is suitable for my purposes.
However, traditionally, people use [http://www.mysql.com]MySQL[/url] with PHP.
For domain names, no you dont get free domain names, unless you have some sort of deal with a website package. Even then, I dont advise taking the offer, as it is better to get your own domain name and so be free of ambiguous ownership problems.
For example, you can get a domain name from a registrar such as [http://www.namesecure.com]namesecure[/url], or a reseller such as namecheap.
Actually, in my opinion you're probably better off getting web hosting from a professional host, and only using your local computer to develop and test your scripts locally.
