You should have something called php.exe in the precompiled binary package you downloaded from www.php.net.
You also need a web server to execute the php scripts you write. You can download the venerable apache from apache.org or if you want an easily configurable and good web server, you can download Xitami from www.imatix.com and set up the server to handle your php scripts via php.exe.
Both these have versions for Windows.
Anyway, I don't know anything about PHP Coder..
--Kartic