Did you load the PHP 4 module in your httpd.conf file and define the .php type? It sounds like you may forgotten that. Your configuration file should contain something like this:
LoadModule php4_module modules/php4apache.dll
AddType application/x-httpd-php .php
The exact location of php4apache.dll may vary, this assumes it's in the modules subdir of your ServerRoot (c:/Program Files/Apache Group/Apache e.g.). By default php4apache.dll is in c:/php/sapi.
Also, php4ts.dll must also be copied into something like c:\windows\system32 (or your OS's equivalent).
Note that if you're ever upgrading to Apache 2.x, you will need to use apache2filter.dll instead of php4apache.dll.