Paradox, his question is clear enough I think. His point is that you can't simply double-click a PHP file on your local disk and expect it to pop open and run in the browser---like you would an HTML page.
Sam, you are on the right track--you can only test PHP against a webserver configured to process PHP. The defacto standard web server for use with PHP is Apache. However, IIS works fine, too. I don't know about Tomcat.
My recommendation is to install Apache and PHP on your local workstation and use that. The process is not too difficult, but not exactly intuitive to the first-timer either! I have a slightly dated WAMP HOWTO that should get you where you need to be. http://www.troywolf.com/articles/wamp_howto.htm
If you want to use a Linux server to test against instead of Windows, then look for a LAMP guide. Actually, most Linux flavors come with Apache ready to process PHP, so it could be as simple as starting your Apache process and plopping your PHP files into the webroot dir.