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Windows
Contrary to what some people may think, PHP on Windows is a very popular option. PHP will work on Windows 98/ME and WIndows NT/2000/XP/2003 versions of the operating system. On a Windows platform, you have the option to use either the open source Apache web server, or the native Internet Information Services (IIS) server from Microsoft, which can be installed from your Windows CD. When you have one of these servers installed, you can download and install the appropriate PHP distribution from PHP download page. For beginners or novice users, you may find downloading the msi installer for php an easier solution, which provides an installation interface to configure PHP for you. FOr advanced users, you can install PHP using the source code zip files instead, which allows you more flexibility with your installation.

Instructions for installing MySQL
First, you will need to download the Windows version of MySQL, and follow the installation instructions. If you have PHP 4, you do not need to install the equivalence of php-mysql on Linux, as MySQL support is built-in in Windows distributions of PHP. In PHP 5, if you have not used the PHP MSI installer and selected the option in modules, you will need to uncomment the following line in your php.ini file (that is, remove the ';' at the beginning of the line):

;extension=php_mysql.dll

The php.ini file can be found in the PHP's Installation Directory if using the Windows Installer. This also needs to be done if you are using the source code PHP installation, as MySQL support is not enabled by default.

If you find all the above too much a hassle, you have another option. Driven by the eternal desire to do things the safe/easy way, several conveniently packaged AMP bundles of Apache/MySQL/PHP can be found on the net. One of them is PHPTriad. Or, you can try Uniform Server. It is a small WAMP Package. 1 click install and also easy to use. Same with XAMPP for Windows. And after trying these out you can simply delete the directory and everything is clean. A number of portable Windows AMP package choices are summarized at List of portable Web Servers.

Also, a package installer called WAMP is available. It simply installs Apache, PHP and MySQL on windows with ease. http://www.en.wampserver.com/