Firstly get yourself an IDE, there are many threads on this forum dicussing the pros and cons of different ones. Have a play with them, and find one you are comfortable with.
Either go down the route of installing Apache & MySQL, or install XAMPP or WAMPP. Very straight forward to use. I am on a windows/linux dual boot system and opted for XAMPP (Apache Friends).
XAMPP under windows can be installed with Apache & MySQL as services, although the current model does have a glitch in it. So avoid this. All this means is you will manually have to start MySQL and Apache Server.
Find some easy tutorials to start with so you get a basic understanding. Avoid PHP & MySQL, as MySQL is depreciated. Either opt for MySQLi (good for both types of coding), or opt for PDO (OOP only).
Happy coding :):)
I'd advise installing a stack - as linked to by Hearth. This should give you:
Apache (don't use IIS if you can avoid it)
MySQL and phpMyAdmin
Possibly other bits and bobs like Perl, OpenSSL, Filezilla Server, Mail Server (e.g. Mercury).
I usually update from XAMPP, but whichever package you decide upon, ensure that you have the latest stable version of php. Some functions just refuse to work in older versions - Windows especially.