What kind of server are you installing it on?
I can do WindowsNT and Win2K reasonably well. You'll want to download a distribution from
http://www.php4win.de and unzip it into a directory named C:PHP (assuming C is your primary hard drive partition).
Inside of your PHP directory, there should be a file called php4ts.dll. Copy this .dll into your C:WINNTSystem32 directory. Now open up the dlls subdirectory and copy all of the files from here to your C:WINNTSystem32 directory as well. If Windows squaks that you've already got a file by that name there, then keep your old one--don't overwrite it with the newly downloaded files.
Back in our PHP directory there should be a file called php.ini. Copy it into C:WINNT, and open it with notepad. Do a search for "extension_dir" and you should see something similar to this:
Make sure that this path is the correct path to the extensions directory (should be C:PHPextensions) of the unzipped PHP4 installation. Feel free to browse through the extensions below that and enable whichever ones you think you might want to use.
Now start up IIS, go to the web site you want to have PHP running on, and right click it. Click on Properties. Go to the ISAPI filters tab. Click the Add button, and create a new filter called PHP. The Executable file should be "C:PHPsapiphp4isapi.dll" if you've put PHP in the same directory that I said earlier.
Now go to the Home Directory tab and click Configuration. Click the Add button and specify the same path as we did for the ISAPI filter (C:PHPsapiphp4isapi.dll) in the executable field. The extension will be .php.
Now you'll need to completely start IIS. The best way to do this is the command prompt. Bring one up and enter the following commands:
If this all went right, then you now have PHP4 installed.
To test your installation, make a script called phpinfo.php and put the following into it:
Put this on your webserver and run it from a browser. If you get a nifty page with a bunch of stuff about PHP on it, then you've succesfully installed PHP. If not, then you'll need to go back and try again.