The easiest approach to getting started in a Microsoft Windows environment is to use an installation package that includes Apache, PHP, and MySQL. NuSphere sells an install package with support and offers a free package without support. Their web site is http://www.nusphere.com/. Another excellent, free installation package is PHP Triad for Windows, available from http://sourceforge.net/projects/phptriad/.
To install without an installation package, instructions can be found in the installation section of the PHP manual at http://www.php.net/manual/.