Last night, I setup PHP server in my Windows XP box.
There are steps I did:
1. Download PHP installer from PHP.net

2. Run it.
(Note: Remember PHP will run in CGI mode, there are no PEAR library)

3. Go to pear.php.net/go-pear and it as a PHP file in the PHP root dir.

4. run http://localhost/php/go-pear.php.

5. edit [WINDOWS]\php.ini
include_path = ".;c:\php\includes;[PHP_root]\PEAR"

I hope these steps can help you.