Newbie with NO IDEA Pls Help

Hey, I was just doing work experience at a webpage authoring company and the guy there suggested that I check out php and it'd be something great to learn. I know HTML and thought i'd check out PHP. The problem I'm having is that, I don't have the slightest clue what to do. With HTML it was simply write the code in notepad and save as .html and so forth. With PHP I need to install stuff and it talks about webservers and etc. I don't run a Webserver. I'm very confused and some help would be greatly appreciated. I'm running Windows 2000 and have downloaded Php 4.06 Win32 and the Installer. I don't know where to go from there. Help greatly appreciated. Thanks, Mike