I believe there are many out there in the same situation that I was a week ago, wanting to set up PHP4 and MySQL on their windows box to start playing with PHP.
The info to do this is definitely in this forum but I had a hard time finding some of it (and didn't find some info at all). So I hope to save some of you time with this post.
First of all, by the number of PWS questions I saw posted (with a shortage of answers) take my advice and avoid PWS as your web server, and go with Apache instead. I tried and failed to get PWS to work with PHP4.
I did find one very helpful post which referenced a site (www.manucorp.com) and claimed it offered a all for one Apache/PHP4/MySQL install for Windows and that it worked immediately. Too good to be true? It wasn't. Sure the site is in French, but it was easy to download the EasyPHP install and install in on my machine.
The problem I had with this all in one was lack of documentation. I clicked on the Apache icon and saw that it was running, but then what? As I should have known, the default server domain name was localhost and when I went to http:\localhost it gave a test web page to test PHP scripts. Then I went to \EasyPHP\Apache\conf\ and found the httpd.conf file which had all the settings and changed the document root directory to where I had my practice .php4 scripts. After restarting the Apache server I just typed http://localhost/test.php4 as the URL and buddabing buddaboom, the script ran perfectly. I did NOTHING with PHP4, the install took care of everything.
I can't speak to how well the MySQL part of it worked because I already had a MySQL server configured and running, but the guy who made the original post said that it worked for him.
I hope that helps those of you who just want to set up a test platform on windows. That's what I did, and it sure worked for me.