Basic PHP problem
Alright, this is because PHP is a server side language. So you need to host it on something like apache with php enabled. Or go to freehostia.com or 110mb.com get an account and host your scripts there. The reason that it doesn't work with your browser is because your browser can't interperate .php files. And this all brings it back to because php is a server side language, and stuff like javascript is client side. So yea, hopefully that helped. I may have just ended up in confusing you more….. Ah well, hopefully that helped somewhat. For now just get a freehostia account and host your files on that.
EDIT: Ah, you beat me to it Mr. Cheese!
erm, I think you have to do it in a certian order, like install apache then in installin gphp you have to set to configur it'self with apache
http://thepiratebay.org/tor/3569297/Full_server_for_win32
My guide and a torrent link
I tried setting up PHP and apache on my local machine and struggled to get it running, but after prowling around the Internet i found a very useful installer which installed all of these different aspects with a simple step by step installation (basically all you do is press next), if i was you i would do the same.
This tool known as XAMPP was highly useful or you could alternatively use EasyPHP.
Personally I would recommend XAMPP part of apache friends link is below : http://www.apachefriends.org/en/xampp.html
Unitstall every thing you got including apache as apache is included in the XAMPP package, then re-install the xampp aplication. Make sure you save all files you create in the folder named htdocs in the xampp program file, may want to mkae a shortcut to it on your desktop.
When you have your PHP script saved in the htdocs folder go in to your browser and type in the url 127.0.0.1 and it will locate you to you local host. When in your local host all the files/folder within that folder will be listed and you can select your script and it shoud run. Inless theres a file in there called index.*** as that will automatically open up innitally.