First of all check that you server runs PHP.
Secondly, make sure you are not in FTP or the files will download istead of opening.
Thirdly, make sure your PHP files are named 'filename.php'.
If all the above are ok then you are a bit stuck.
Links to php are the same as to html
eg
<a href='myphpfile.php'>My PHP File</a>
Hope this is some help.