Jani,
Question: did you modify the .REG file before double-clicking on the file to merge its contents into your registry? It looks like you have decompressed the files to C:\PHP (assuming you put all the PHP files in the same place you put the PHP extensions). If so, you need to edit the .REG file to reflect that. By default it does not appear to contain a path (v4.0.1pl2) or may contain "C:\Program Files\PHP" in older versions of the file (I am guessing here). Just RIGHT-click on PWS-php4.reg, choose edit, and replace the "[PUT PATH HERE]" part with "C:\PHP" so it reads "C:\PHP\php4isapi.dll". Save it, then double-click on it to merge it back into your registry.
You'll may need to stop/start the whole server now. The ISAPI module only reads its config during startup, but I'm not sure if PWS is the same. Just type "net stop iisadmin" and answer yes to have it stop the webserver. Once you've got the prompt back, type "net start w3svc" to kickstart the sucker again. Note you MUST do this (or a full reboot for the commandline-challenged) ANY time you make a change to the PHP.INI file IF you are using the ISAPI module. The ISAPI module only reads its config during startup, whereas the CGI version (PHP.EXE) checks its config during each invocation.
Also, HOW exactly are you attempting to open the PHP file you are talking about? The most common problem I notice people making is that they are working on PHP files on the same box the webserver is running on (like your case), and instead of properly opening the PHP file through the website (e.g., http://yoursite/phpfile), they are opening the local file itself (e.g., file:///C|/InetPub/wwwroot/phpfile). This does NOT get the file parsed by the PHP engine.
Final note: PWS on NT is not the same as PWS in Win9x. It's really more like IIS Lite. If you have MS Option Pack installed, you'll likely have the Microsoft Management Console (MMC) installed, which basically should let you perform the same management steps as anyone who has IIS installed. That is, follow the IIS instructions in the PHP readme file instead of for PWS and you may have better luck.
Hope this helps.
P.S. Odds are you already HAD the Msvcrt.dll file, which was included in the PHP distribution, in your c:/winnt/system32 directory. Just be careful any time you replace such a file. I compared the file to the version I had and they carried the same timestamp and filesize, so I did not bother replacing the one already there.