Are you using Windows XP Pro? If so, I would recommend using Internet Information Services instead of Apache, it's easier to configure (at least I think so).
To install IIS, just open Add/Remove Programs from the Control Panel, and then click on Add/Remove Windows Components and check the box next to Internet Information Services. You'll need your Windows XP Pro CD for the installation.
Otherwise, you can download Apache from
http://httpd.apache.org/download.cgi , just find the link listed as "Windows 32 Binary (MSI Installer)".
Next, download PHP from
http://www.php.net/downloads.php , you'll want the Installer listed under Windows Binaries (as of this writing, the la-*test*-('") version is 5.0.4).
Then, download MySQL from
http://dev.mysql.com/downloads/mysql/4.1.html , find the section labelled "Windows Downloads" and select the download labelled "Windows (x86)". If you're on a slow connection you could choose the "Windows Essentials" download, which gives you the MySQL Database program without any extra features.
I'd suggest installing them in that order; IIS or Apache first, then PHP, then MySQL. The PHP and MySQL installers should automatically configure your IIS or Apache installation as necessary. The installers should pretty much walk you through the process. After that, you can try typing 127.0.0.1 in your web browser to -*test*-('") out your new server!