I'm trying to install php5 but I need to copy the php.ini file to the %SYSTEMROOT% folder. The problem is that I don't see this folder in my C:/WINDOWS directory.

Where is it or am I suppose to copy the file to another location?

I'm using Windows XP.

No need, I just dropped my php.ini in C:\WINDOWS directory and it worked.

If you had typed %systemroot% in the Run window it would have opened that folder for you in Explorer, same as with any file or folder...
If you Run a folder path it will open the folder; if you run a file's pathname it will open the file, eg a pdf or jpg will open in the associated application, an exe file will start.
Just putting this up for general information.