For those who are not already aware of the Web Platform Installer (WPI), it's a great tool for setting up a Windows machine for Web app development and deployment. You can download the beta of WPI 2.0 or the WPI 1.0 release here.
PHP itself is available via the WPI 2.0 beta. Installing PHP through the WPI 2.0 beta also automatically configures FastCGI as part of the installation. Mai-lan from the API team has a great blog post here with more information about installing PHP via WPI.