1) Download PHP: http://www.php.net/downloads.php (for more control over the install use the zip version)
Daily PHP snapshot can be found here: http://snaps.php.net/

2) Install following instructions provided by Php.net (see install.txt and/or http://us2.php.net/manual/en/install.windows.php).
Basically, upload the PHP folder to your server (make sure the web user has read access/permissions to the appropriate files), also need "write permissions" on some temp folders.

3) Customize the php configuration file (php.ini) for your setup (Apache or IIS).
It seems that PHP will try to load a specific .ini file before calling the default php.ini. It will looks for these files in a series of folders (local folder of the calling .exe then the directories in your path).
php-apache2handler.ini is the first attempt for php5apache2.dll php4apache2.dll
php-isapi.ini is the first attempt for php5isapi.dll
php-cgi-fcgi.ini is the first attempt for php-cgi.exe

For more information about phph.ini see: Php.ini common directives

4) Add the "connector" to have PHP work with your web server (IIS or Apache).
For apache see: Apache: Install PHP
For IIS see: IIS: Install PHP connector

5) To speed up your PHP scripts, see: PHP Accelerators
Personally I found that, to make your php appplication fast, eAccelerator is the way to go. I usually pick a version of PHP that is compatible with eAccelerator.