Follow the instructions in the PHP manual.
Generally, you would add your new PHP directory to the system path, then follow the set of instructions for configuring the web server that you installed. For example, you would use the Apache 2.0.x on Microsoft Windows if you are running Apache 2 (or Apache 2.2).
One thing to note: I suggest renaming a copy of php.ini-recommended to php.ini. If you are using this PHP installation for development, change php.ini to set display_errors to On and log_errors to Off.