To answer the original poster, I have recently decided to add PHP and MySQL to my tool belt and the first, and possibly most frustrating

, thing to do is create a PHP Development Environment. It can be very confusing to someone with no programming/server experience to understand why it is needed. I don't know what your experience is so I'll just play it safe and assume you know very little. No disrespect!
Usually when a page is loaded from a server by a browser, the browser sees the HTML, CSS, JavaScript, and other browser scripting languages, then constructs, styles, and displays the page based on the browser's understanding of the languages.
PHP, however, is a foreign language to browsers. Opening a .php file with your browser from your computer is like Peppering your vocabulary with Mandarin while speaking to someone who only knows English, French, and German. This is where a server is needed to act as a translator, or middle man. If you don't have a server, the only way to test your .php pages while learning would be to upload them to a server through your web hosting company.
A PHP Dev Environment is created to avoid this. It is done by:
Option 1:
Follow W3Schools.com's intructions and
-Download Apache, a server that can be installed on your computer and will be used to translate your PHP before sending it to the browser.
-Download PHP, to teach your server the language it will be translating.
-Download MySQL, a database to store information on the server, such as submitted forms from your pages.
-Then figure out how to install and set them all up properly.
or Option 2:
-Download a ready-to-use Developing Environment, which includes all three, setup with one install, and usually a UI to simplify the use.
Here are the few that I know of so far (btw AMP = Apache, MySQL, PHP/Perl/Python)
-
Xampp (I'm currently using this one)
-
WampServer (Windows Only)
-
MAMP (Mac only)
-
AppServ
Also found this
comparison of WAMPS (Windows AMP).
Use at your own risk though. I've only used Xampp. I hope I was able to help.