if you dont run linux , which is the best way , then from windows you can use foxserver or xampp , easy and simple solutions.
you can just use windows, search for "WAMP" or you can always visit my blog at "http://blog.xoogie.net/index.php/2006/12/19/make-your-own-webserver-free/"
I'll cast my vote for xampp - it's very simple install & I've not had any issues regarding php/cgi scripts run locally with it.
its called denwer http://www.denwer.ru/ I think its only available in russian, but it's very good and quite easy to install, use altavista translator