Next add to your httpd.conf:
AddHandler fcgid-script .php

Make sure your comment out the previous lines handling .php.

Next your should see a line like:

<Directory "D:\AppServ\php5">

...some configuration directives....

</Directory>

Simply add the lines (adjust to your location of php-cgi.exe) :
FCGIWrapper "c:/php/php-cgi.exe" .php
and then make sure your options include ExecCGI with:
Options ExecCGI
or to add this option to your existing Options:
Options +ExecCGI

Note if you use the .htaccess mechanism you can also add those 2 lines to that file (in the directory with your php scripts).

Basically fast cgi enable a recycling of the "PHP threads". Apache and PHP (on windows at least) is know to create problems after x amount of PHP requests. Using FASTCGI you actually keep the "PHP engine" loaded for a few minutes or a few hours and it will recycle itself (you can configure this exact behavior with the FASTCGI directives). The main advantage with FASTCGI versus CGI is that since you actually keep a "PHP context" for a few hours you can also use PHP accelerator to even further compensate for the slowness CGI introduces. So you end up with a stable "Apache + PHP" stack that is pretty much the same speed as when using the PHP module.

Cheers,
C