Use the CLI binary - if you are a Windows user, you should already have it ( located in the root folder of PHP installation ).
yeah, if your php file is called "myprogram.php", you should be able to just run "php myprogram.php" from the command line. (assuming the php executable is in your system path)
If you are talking about local system. Download wamp or xampp and you will be able to run php files easily.