Posts: 3,110
Location: Toronto, Ontario
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Since mySQL support isn't "turned on" by defualt in PHP5, a lot of people have trouble enabling it. I just had to copy some DLL's to a WINDOWS directory and edit the php.ini, but I know some people have tried all sorts of things to no avail.
Anyway, get a webserver such as Apache or IIS (IIS is a Windows-only server) and follow the instructions to install it. There are specific instructions in the PHP manual as well as your PHP download as to setting up PHP with your chosen server. In Apache, it's as simple as copying a couple files over to the Apache directory and adding a few directives to the httpd.conf file.
mySQL is it's own server, so just install it and you're set -- you don't really need to configure anything if you just want to fool around with it (though you might want to set a different root password).
Though it's recommended that you try and set up everything by yourself (so you can tweak things to your liking, and more importantly, learn along the way), there are programs that set up all three of them in one go, no configuration required:
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