If your server supports PHP - you don't need to do anything! You do not need to compile anything or install any extra tools - just create some .php files in your web directory - and the server will parse them for you. Most web hosts offer PHP support.

However, if your server does not support PHP, you must install PHP. Below is a link to a good tutorial from PHP.net on how to install PHP5:

http://www.php.net/manual/en/install.php