create a file with the following.
Name it a file with a .php extension and run it in your web browser. It will tell you the info about the PHP on the server.
<?
phpinfo();
?>
If nothing appears, you dont have PHP set up properly. If that is the case, you should check if apache (or whatever web service is running) is set up to read .php extensions and send them to the php module. This is in the httpd.conf file on apache if that is web service you are running.