In this new article on the SitePoint PHP blog, Craig Buckler shows you how to get PHP installed and working. He mentions the "all in one" packages that can do a lot of the work for you, but opts to go down the manual route to show you how its really done.
Installing PHP on your development PC allows you to safely create and test a web application without affecting the data or systems on your live website. This article describes PHP installation as a module within the Windows version of Apache 2.2. Mac and Linux users will probably have it installed already.
The process is quick and relatively painless - there's six steps (not including the Apache install, that was covered previously) and only a little bit of messing around with system properties you'll need to do.