To run PHP programs you need a web server installed on your computer.

For windows, it is better install Zend Server Community edition.

Once you installed, you can start creating php programs. You need to upload Programs to DocumentRoot of the web server.

C:/Program Files/Zend/Apache2/htdocs

We will start with very basic phpinfo script.

In DocumentRoot, create a file with extenson .php, example phpinfo.php

Put following content in the file

Now access the file with url
http://localhost/phpinfo.php
You will get php info page, it look some thing like
http://hostonnet.com/phpinfo.php
For creating php files, i recommend using notepad++ (for beginners) or ZendStudio for advanced users.
You ca download notepad++ from
http://notepad-plus.sourceforge.net/uk/site.htm