HypUK,
Yes, it would be nice if installers worked, but hey this is the real world .......
What Windows platform are you installing on to. Win2K and IIS5 is what I use on one of my development machines (along with MS SQL 2000). The best way to install this is to download the PHP Zip file, unzip it into the php5.1.blah.blah default directory, rename that directory to PHP5 and then follow the configuration directions here.
http://uk2.php.net/manual/en/install.windows.iis.php
Be careful to follow the instructions for both the right version of PHP and IIS, PHP 5 is different to PHP 4 and IIS 6 is different to IIS 5.
Downloading the Zip is also a better way to go if you later want to enable support for things like MS SQL and some of the XML stuff which you may likely need if you are working within a Windows environment.
HTH - Blu