It all depends. I have used both approaches, and have gotten both to work. I think that if it is the first time you will use PHP you should use a package such as xampp. There are enough new things to think about and learn without having to worry to much about lots of settings in apache and php as well.
If you already know PHP you should set it up for yourself. It is a bit harder, but you will have complete control over everything. You should also set it up yourself if you will install it on the production server.