On the Developer Tutorials website, Michael Ross has written up a guide to step you through the installation of PHP on a Windows machine (on basically any flavor of Windows too).

Your PC can be turned into a fully capable Web development environment, by installing those three technologies, and configuring them so they communicate with one another. Admittedly, you can simply install and use PHP for its command-line processing. But for creating and testing dynamically generated Web pages on your local machine, then Apache needs to be already installed and working.

If you're wanting to set that part up before you get started and aren't sure how, check out the other tutorial to get started. He works through the process with you, including screenshots of the installer and how to toss MySQL in to the mix.

Via this new post on Nexen.net, there's information about an extension that's looking to provide another cross-platform solution to the creation of local GUI software with PHP - PHP-Qt.

PHP-Qt is an extension for PHP5 that aims to write software with the Qt Toolkit. It provides an object-oriented interface to the Qt4 Framework and allowes to write Qt applications in the PHP language.

Qt by Trolltech is a C++ toolkit for cross-platform GUI application development. Qt provides single-source portability across Microsoft Windows, Mac OS X, Linux, all major commercial Unix variants, and embedded Linux.

Their first (and latest) release, version 0.0.1, has been posted and is ready for some testing. You need to have PHP 5.1RC1 or later to get it working (as well as the Qt4 development files, of course), but it looks like it has some good potential...