I know of this one, its called Easy PHP. it installs Apache 1.3.27 - PHP 4.3.3 - MySQL 4.0.15 - PhpMyAdmin 2.5.3.
The url to download it is
http://www.easyphp.org/telechargements.php3
It is easy to install and setup. It installs apache, php and mysql all for you. To start the server all you have to do is run EasyPHP. hope this helps

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btw - I would only run the server when you need to test your scripts. If you leave it running all the time you may open yourself to some security risk.