Hi,
have a look at the manual. i run apache under windows, and had no trouble at all.
It looks like you need to find php.ini on your system, and set cgi.force=0
The manual states:
at http://uk2.php.net/manual/en/install.windows.iis.php
CGI users must set the cgi.force_redirect PHP directive to 0 inside php.ini. Read the faq on cgi.force_redirect for important details. Also, CGI users may want to set the cgi.redirect_status_env directive. When using directives, be sure these directives aren't commented out inside php.ini.
and at http://uk2.php.net/manual/en/ini.core.php#ini.cgi.force-redirect
cgi.force_redirect boolean
cgi.force_redirect is necessary to provide security running PHP as a CGI under most web servers. Left undefined, PHP turns this on by default. You can turn it off at your own risk.
Note: Windows Users: You can safely turn this off for IIS, in fact, you must. To get OmniHTTPD or Xitami to work you must turn it off