Ahh..... I see the source of your problem. You're downloading the wrong distribution archives my friend🙂
The gzip'ed tarball is the source code distro (ie. it contains the C source which is compiled to make PHP). php4apache.dll is a precompiled binary so you can't expect to find it there.
The Win32 installer doesn't do Apache. Apache requires manual editting of httpd.conf, and the installer only plays with your registry to configure IIS, PWS, Xitami, etc. Since the installer doesn't do Apache, php4apache.dll also isn't included there.
Download the zip file archive (link name: PHP 4.0.6 zip package). It contains php4apache.dll and all the other sapi's. It also contains all the PHP extension modules: GD, zLib, databases, etc. which are also not included in the Win32 installer.
The installer is intended only as a method of getting a working test installation up and running on Win32 specific servers. It's primary goal is to make life easier for new folks coming from a WinDoze background who may find a manual, text-file based installation difficult or confusing.
-geoff