PHP is an interpreter not a compiler and I presume that what you want is an environment where you can develop PHP code and run it. There are some programs that can use PHP code and actually compile it into a Windows or Linux executeable file but I don't think that is what you want.
In order to use PHP (and MySQL) you need a LAMP "stack" (Linux, Apache, MySQL and PHP). There are packages that put all of this together for you and make it easy:
* EasyPHP (the one that I have been using for years)