I tried in vain to get Apache/MySQL/PHP to work on my Win XP platform using only the file downloaded from each website respectively. Finally, I got tired of fighting with it, and downloaded a package that installs all the necessary components with their most common configurations.
There are several of these available for free. I am using e-novative WAMP right now, but also have used "The Saint WAMP" as well.
The best case is to use Linux to begin with I imagine, but I have too many other apps that I use that are dependent on the MoCD unfortunately.