I have both running on my PC. The only thing you need to be aware of is you have to change the port of one of them otherwise they will both try to use port 80, and when you start a local page your web servers will conflict. Normally you change one of them to use port 8080 and call it like this: http://localhost/somepage.php:8080
If you want to easily install Apache on a PC google for a program called WAMP. Not only does this install Apache correctly and PHP and MySQL it also gives you a brilliant front end for making changes and is well worth it since it's free! :)
I agree, WAMP is probably the best bet since it's a lot easier then installing PHP, MySQL and Apache separately. I would recommend Apache over IIS since it's closer to its native environment. There are certain features that are not available in IIS.
Also the taskbar WAMP menu helps you open the config files quickly for editing. If you want to add a virtual host in Apache file and have that added in your host file too, you can have an identical structure to that on the live server. It would look something like this: http://sitename/ index.php