I downloaded this:
http://www.php.net/downloads.php
The first one.

I have read this:
http://stackoverflow.com/questions/4301975/how-can-i-run-a-php-without-a-web-server

So I thought answer on StackOverflow would be perfect. It looked so.
But when I "untared" I saw no php.exe in the folder. How this can be?

If you want to run PHP on your local machine you should install a LAMP package (usually called WAMP if it's on a Windows machine) that provides you with your own local server and supports MySQL (and usually SQLite) databases. PHP is part of the package but you also need a version of Apache and MySQL. I use a package called Uniform Server (Uniserver). There are quite a few others including WAMP and XAMPP. You just install the package, put your code in the right folder and you can be up and running without having to really understand the internal complexity of assembling an environment that works.

If you want to run PHP as if it was a desktop application (ie without any server environmentat all - even local), that isn't a common way to do it and there isn't much software available to support it. PHP is meant to be run using a server environment.

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Nevermind.