IIS is cactus, and I think we all know that, but with PHP as an ISAPI module it absolutely flys... as opposed to PHP as an apache module ....on windows....
That said PHP/Apache on the right platform is faster and certainly more secure.
But if you are going to upload to a 'real' server and just want to test locally on Windows then Apache runs fine on XP - I have 1.3.22 running happily along, and look out for apache 2 which is apparantly going to be be much more windows friendly.