TO get started, I suggest you download WAMPSERVER: http://www.wampserver.com/en/index.php
It has the latest versions of PHP and APACHE as well as a few other nifty things all packaged together for you like: MySQL server, PhpMyAdmin, SQLiteManager, and more....
It won't conflict with IIS as far as I remember.
With PHP there are several options for databases, but the most widely used is MySQL and PHP offers full support for it... but that is not your only option.
There are other options to WAMPSERVER:
I think Houdini here likes to recommend http://www.apachefriends.org/en/xampp-windows.html as an alternative to Wamp, and there is also EasyPhp: http://easyphp.org/?lang=en
Hope that helps getting you started testing your scripts locally.