I had the same problem, none of the PHP documentation was much help. I was able to make things work ok by putting the php4isapi.dll and the php4ts.dll into c:\winnt\system32\inetserv\ directory, where all the other ISAPI apps live. Then set the 'App Mappings' as described in the PHP install docs to map .php files to the php4isapi.dll in the inetserv directory.
Apparently c:\php is NOT a good place to run the ISAPI version from, probably due to permissions in Win2k.