Well, there is a lot 🙂
Yes, the htdocs folder is the document root for apache. You can configure it to be something different, but that is the default on a windows install (c:\program files\apache group\apache\htdocs\ or so).
As for the hello world script not seeming to work, you probably don't have PHP working with apache (or something along the lines of installation problems). There are tons of tutorials on installing apache/mysql.. 28 listed at hotscripts:
http://www.hotscripts.com/PHP/Tips_and_Tutorials/Installing_PHP/
Also, you could use an 'installation kit', there are 16 listed on hotscripts:
http://www.hotscripts.com/PHP/Software_and_Servers/Installation_Kits/
These will basically install apache, php, mysql database, and possibly some other things depending on which one you get (if you decide to go this path).
Hope this helps,
-Josh B