What do you Need?
If your server supports PHP you don’t need to do anything.
Just create .php file in your web directory, and the server will parse them for you.
However, if your server does not support PHP, you must install PHP.
Here is a link to a good tutorial from PHP.net on how to install PHP5:
Download PHP: http://www.php.net/downloads.php
Download MySQL Database
Download MySQL: http://www.mysql.com/downloads/index.html
Download Apache Server
Download Apache: http://httpd.apache.org/download.cgi