Brian,
PHP is an interpreted language. In a nutshell, that means it compiled at runtime by the PHP interpreter that has been configured into your webserver. It can also be run on the command line with the following syntax:
php -q <source_file.php>
but the output is only displayed in the console window, unless you're running a PHP-GTK app. With PHP-GTK, the interpreter continues to run in the background, but window's are drawn by GTK and control is given to the GTK::main() loop.
You don't need to worry about compiling, just writing the source... thus the only software you'll need is your favourite text editor. Several text editor's, like EditPlus in Win32, offer PHP syntax highlighting which is very helpful. HTH.
Geoff A. Virgo