If you want to run your own server you can do it the easy way:
Install this:
http://www.bizzarserver.com/
Although you get quite limited control
Or the harder, but better way, install apache, php and mysql individually
First download and install apache from apache.org
http://mirror.public-internet.co.uk/apache/httpd/binaries/win32/apache_2.2.3-win32-x86-no_ssl.msi (direct link for windows)
The once that is installed download php from php.net (
http://uk.php.net/get/php-5.2.0-Win32.zip/from/this/mirror ) and then extract that to c:/windows
Then open up apache's httpd.conf (found in the start menu) and add the following to the bottom of the file:
LoadModule php5_module "C:/PHP/php5apache2.dll"
AddType application/x-httpd-php .php
AddType application/x-httpd-php-source .phps
You then need to restart apache and php should be enabled, then create the a file called phpinfo.php in the htdocs folder (default is C:\Program Files\Apache Group\Apache2\htdocs I think)
then navigate to
http://localhost/phpinfo.php in your browser
You should see a list of all PHP's information, if not and you just see wh
at you typed then you have done something wrong
Now copy php.ini-reccomended from c:/php to c:/windows, and rename it php.ini Open this file and search for extension=php_mysql.dll at the beginning of that line you will see a semicolon, which basically means that the line will be ignored, you need to remove the semicolon and then restart apache. And the mysql module should be loaded.
Finally to install mysql download and run the installer from
http://dev.mysql.com/downloads/mysql/5.0.html#downloads this uses a wizard, so it should be pretty easy.
More in depth explanations can probably be found in google, what i said above is just a brief overview of what i have used in the past
Lee