I did just that. Except I got IIS 5.1 =P
Anyways, I found out that to open the file and test the PHP script, once I used the installer for the 4.1.1 PHP. I needed to open IE, or another browser and type in
http://DOMAINNAME/
U will have a domain name. I found mine to be my username.
http://testname/filename.php
that is how to open them.
If you double click the file, it will not open and work righ. You need to pretend you are a outside user.
What can I say, its MS for you.