PHP is a server-side language which means that you can't setup IE, Netscape, or any other kind of browser to display PHP pages. All the code parsing is done on the webserver and the resulting HTML code is sent to the browser. What you're going to have to do is install a webserver and PHP, then set the webserver up to parse PHP code.
You can download Apache from www.apache.org, your best bet since there's some pretty good reasons why Apache has 60% of the webserver marketshare..... like IIS sucks🙂 Alternatively, all versions of Windows from Win98 on come with some derivative of IIS.... PWS on Win98, a handicaped IIS on WinNT Workstation, and IIS on WinNT Server/Win2K Server. I'm not sure what comes with WinME. Either way, they can all be setup to run PHP. Read the docs in the installation section of the manual on www.php.net for instructions on how to configure the webserver your choose. You're probably also going to want to download a copy of mySQL from www.mysql.com since you'll most likely end up in some database-driven apps before too long.
When you download the PHP binary, if you grab the installer version (smaller download), make sure you also grab the zip version since the installer doesn't have any of the precompiled extensions like GD, zLib, etc. and you'll probably be wanting to use at least some of those before too long. HTH.
Cheers,
Geoff A. Virgo