xampp is the best. You get a complete server solution. It support PHP,ASP with ssl enabled have lots of addons for FTP,mailserver etc.. you gonna love this xampp
I always do my php programming offline before I upload it to my site. You have to install apache, then php, and then mysql. If you don't know how, You should buy a php-mysql book that tells you how to install all three.
I've actually written a guide on this. Did it on a day I was bored...should work fine. Keep in mind this is php + apache, does not include mysql...but this should get you started. This is how I started work in php actually.
Those 3rd party application make your PC ready to start coding without having to buy apache+php installation books. Simply install and start coding
phpTriad is also a nice bundle which can make a localhost on your PC and you can then test the scripts or develop them at faster speed.