I think you might've downloaded something for linux, or maybe the source code. There's a link here http://www.php.net/downloads.php that says "PHP 4.3.7 installer" under "Windows Binaries" - download that. I assume you're using windows because you mentioned ".exe." Once you click on that link, you can download the exe from any one of the mirrors. You'll need a web server before installation. Also, you'll need a database server, like MySQL, if you want to setup a forum on your computer.

If you just want a free forum, register for a free one here: http://invisionfree.com/

.tar is a linux compressed file like win's .zip.

To get the most recent php dist for windows go here...
http://us2.php.net/get/php-4.3.7-Win32.zip/from/a/mirror/

That is the binaries w/o the installer. I'm guessing your using Apache? If so do as follows to install php as an Apache module.

you can find Apache at http://www.apache.org/ and you'll also need MySQL which you can find at http://www.mysql.org/
As for the forum scripts Invission is good but i preffer phpBB which can be found at http://www.phpbb.com It's just a matter of opinion both are good.

1. Download the PHP binary.zip
2. Unpack the php.zip To C:\
3. After doing that your php files will be @ C:\php-4.3.x or similar... rename C:\php-xxx to C;\PHP or C:\php
4. Open httpd.conf
file://C:\Program Files\Apache Group\Apache\conf\ for Apache 1.3.x or
file://C:\Program Files\Apache Group\Apache2\conf\ for Apache 2.0.x
5. In order for php to work with apache you must specify some thing in httpd.conf
For Apache 2.0.x
Add the lines...

LoadModule php4_module        modules/libphp4.dll
AddType application/x-httpd-php php phtml
AddType application/x-httpd-php-source phps phtms

I think for Apache 1.3.x you need that above and AddHandler.
6. Open php.ini-recommended from C:\php\php.ini-recommended
save as C:\WINDOWS\php.ini
Copy libphp4.dll from C:\PHP to your Apache modules folder.
Copy php4apache2.dll from C:\php\sapi to you Apache root folder
7. Restart apache
8. Make test.php in your htdocs folder and insert the following...
[PHP]<?PHP phpinfo(); ?>[/PHP]
9. goto http://127.0.0.1/test.php

If it worked you did it right. :)

use http://localhost/ instead of the exact IP, its always better to be able to use a name over a set of numbers.

also if you plan on doing anything productive with php your going to want to download and install mySQL on your machine so you can work with databases and such.