I would recommend getting Apache to use as a Web server when running PHP. However you can use a range of different Web servers, please read the installation instructions at the official PHP site.

To configure Apache you need to edit the srm.conf or your httpd.conf to make Apache work with the PHP binary.

Windows 9x/2k/NT

Here you will need to add the following directives:

ScriptAlias /php/ "c:/path-to-php-dir/"
AddType application/x-httpd-php .php
AddType application/x-httpd-php .phtml
Action application/x-httpd-php "/php/php.exe"

This simply adds a new MIME type and makes Apache run PHP whenever it comes across the .php and .phtml file extensions.

Unix Systems

Here it is easiest to compile PHP yourself. Please read the official installation documents which tell you how to compile PHP with different options.