You need to go to the "advanced" properties of Personal Web Server. You'll see a listing of virtual folders. You'll need to create one that points to the folder you're going to put php files in. So click on "add". The directory is the real folder you're going to put it in. The alias is what it'll show up on the web. for example:
I choose this as my directory:
c:\inetpub\wwwroot\temp
I choose the alias as:
Website
Then it'll look like this on the web:
http://www.mywebsite.com/Website
(if it wasn't aliased, it would be http://www.mywebsite.com/temp)
anyway, creat that virtual directory. now right click on that directory and check off "execute". Now you should be able to run php scripts.