yes this is possible and will be done some day i am sure but the developers seem to be focusing on other issues, like bugs and features. there have been many issues with php4 and windows, perhaps they're working on them before a "setup wizard."
anyway, i failed setting up apache/php4 and am okay admitting that. but, in my searchings i found a system that basically automates the installation of apache/php4/mysql on a windows machine, amazingly it worked immediatly. see :
http://www.manucorp.com/easyphp.php3
it's in french but that's okay, squint real hard and you'll figure it out 😉 oh, it installs phpmyadmin too, which worked immediatly as well.
basically, i spent much time going through various "how to install ..." tutorials and since all are geared towards php3, they didn't work. well, they worked for some, not for others. really weird.
also, it looks like a windows apache configuration gui is in the works :
http://sourceforge.net/project/?group_id=5442
download that, install it and it should work. although it's more of a 'learning experience' if it's all done by hand, the above should at least get you going.
enjoy your day,
philip