There is a wonderful installer out there (free and open-source) that will install Apache, PHP and MySQL on your box for you. This setup is critical for developers, who write code and test it on their local machine before sending it to their servers were it's exposed to the whole world.
Download it from http//www.apachefriends.org/en/xampp.html and run the installer and you're all set. It even installs phpMyAdmin which is a pretty good interface for maintaining your MySQL databases.