If your server supports PHP, basically you don’t need to do anything. Just create some .php files in your web directory, and the server will parse them for you. Most web hosts offer PHP support because it is free,.
However, if your server does not support PHP, you must install PHP.
Here is a link to a good tutorial from PHP.net on how to install PHP5: http://www.php.net/manual/en/install.php
Download PHP for free here: http://www.php.net/downloads.php
Download MySQL for free here: http://www.mysql.com/downloads/index.html
Download Apache for free here: http://httpd.apache.org/download.cgi