You can set up a local php server on your machine. Either go to php.net and download one or if you want a full blown web server with php and mysql search google for WAMP - it's a bundled installation of the apache web server, mysql database, and php - all for windows.
Great for setting up a development testing ground on your desktop. You could accomplish the same goal with vmware or sun's virtual box and run a full blown Linux installation parallel to your windows install if you have enough ram to do so efficiently but installing WAMP is a much quicker and less resource intensive way of accomplishing about the same goal...
depends on your needs but WAMP is quick and easier to get started with and less work to maintain
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