That is a server-side (Apache or IIS) generated error. There are a couple of possibilities.
Either the user Apache runs as (usually nobody or something like that, site specific) cannot access your scripts and you are running mod_php, or you are using php as a standard CGI program and it runs as someone who can't read your scripts, or you don't have indexing set up correctly.
Apache may only choose to display index.htm or index.html but not index.php. Try accessing one of your php pages by absolute URL (~jfelix/PHP/whatever.php). It could be indexing is turned off, period. Some servers allow you to override this with .htacess files (see Apache docs - you would write a line in ~jfelix/PHP/.htacess reading "Options Indexes" or something like that). If indexing is not the problem, it is permissions. Set your php scripts to be world readable. Example:
$ cd PHP
$ chmod -R a+r ./
This is the syntax for GNU or BSD chmod, which just about everyone (except you poor Windows folks) have.
Hope I helped you.