I am Stupid and Can't get PHP to run

I have followed the install.txt but I must be missing something. I am on a Win2000 machine running iis 5.0. I don't know what I missed but I keep getting CGI Error The specified CGI application misbehaved by not returning a complete set of HTTP headers. The headers it did return are: That's it nothing else. If I take an extension that I know doesn't work then that shows up after the error. If I double click any file with a php extension they run and output html but I can't get them to run thru the browser. I have assigned security the way I know how for I_USR but seem to be getting nowhere so any help would be appreciated.