Hi,
There are two 'versions' of PHP, a CGI version just for running on a server, and a separate 'CLI' version that would run from the command-line.
You will have to do some manual configuration, even with the installer download, so if you want a 'standard' installation, I would go for the zip package and go through it manually (it's not hard, just be methodical and you shouldn't have any problems).
Paul 🙂
PS. You didn't mention what server you are using ... I'm assuming apache but if it's IIS on WinXP/Win2000, I wouldn't know how hard/easy it is to install PHP.