To start php coding .you need first to install php server . The most used one is the php apache server.I recommend to use easyphp http://www.easyphp.org/index.php. because it contains apache server , mysql ,phpmyadmin and php.

Mysql for your databases .
Phpmyadmin is a great GUI web tool makes it easy for you to handle your databases of mysql instead of using the command console .

After installing easyphp . you will find a folder named www inside the folder of installation.In this folder you
will put your php files .your php files extension is .php .for example www/test.php. To call this page from your browser you will write by default http://localhost/test.php .

Now you are ready to start php coding and trying.

Here a links may help depends on your platform :
windows installation
linux/unix installation
mac installation