To start using PHP, you can:
If your server has activated support for PHP you do not need to do anything.
Just create some .php files, place them in your web directory, and the server will automatically parse them for you.
You do not need to compile anything or install any extra tools.
Because PHP is free, most web hosts offer PHP support.
However, if your server does not support PHP, you must:
The official PHP website (PHP.net) has installation instructions for PHP: http://php.net/manual/en/install.php