right, but the less you have to do is always better =)
I actually use the zip file for PHP, because when using the .msi, there is not the option of using ISAPI support (at least not atm), which i prefer.
When using the zip verions, you basically are only installing the files and directories needed for PHP to exist, but not run. You have to manually configure both the Apache httpd.conf and the php.ini to get them to work correctly in windows.
It is not especially difficult, there is no risk of f'ing up the registry, and you actually then learn by osmosis how the stuff is really working. Also, its just a bias of mine, since I am doing this all, ostensibly, as a project for future installs on my linux box, which except for the make/install/configure (which is basically building your own registry settings... in a linux sort of way... very loose analogy) is somewhat similar in that you unzip/tar the packages, then edit the httpd.conf and php.ini and voila, ur up and running.
Ive now pulled out so much hair in teaching myself this configuration (Win/Apache/PHP via ISAPI/Mysql) that I finally now feel comfortable enough redoing it over and over w/ minimal... "WTH?"'s I can usually think over it and say to self, "Oh duh.. remember you did this last time too dopey."
anyway, if you would like to try the Win/Apache/PHP via ISAPI/MySql route, then lemme know, my name/sig is my email addy and am more than willing to help out.
=)