hi, php isn't ment for desktop use... so i think you rather use another programming language like C/VisualBASIC and such
PHP is a Hypertext Parser, its designed strictly for the web or to be invoked by the webserver. For desktop programming you want to look into something like visual basic, real basic, etc etc if you need something graphical, and C++, Python, etc if you want to do something from the code level (you can even create an OpenGL application with Python)
let me guess you want a program that simple to work with and a nice interface to look at where as all the other programs C++ and python are just all codes on a black dos window that crashes if it doesnt compile right and never tells you why. And Visual Basic as an alternative solution can work I havent been keeping in touch with all the new VB stuff, Microsoft has been cramming a little libraries into the new ones that can probably do a lot of cool stuff. Ok back to your problem, try VB, and if thats too problematic and you must use php. get a WAMP that installs mysql, apche webserver and php on your windows computer for you to play with.
It can be done. There is a free program called PHPComplile which lets you run a PHP application as a standalone .exe file on Windows, self-contained.
It's possible as BMR777 mentioned. However, it isn't practical at all. Unless you want to run a web server on your own computer and use a browser as a GUI it isn't going to work very well. You should definitely look into using a language meant for the platform you are developing for, in this case Win32.
Actually, you can write PHP applications for the desktop with PHPGTK, but I, too, would recommend another programming language. Python is pretty easy to learn and useful for a variety of scripting needs as well.