Newbie needs help.

Hello all. I am new to PHP having used ASP for some time. (Seems a lot of us are moving this way) What I'm stuck on is this; I need to build a DB in MySQl and then use PHP to display it. My question is how you get a test environment working on XP Pro. I understand how to call up a database table from say Access because you can develop the DB using Office then use SQL strings to call it using ADODB connections. How though do you make a MySQL database in a windows environment? Can it be done or is it done in Unix or Linux? If so are there any windows based programs to develop a MySQL database? I've been to www.mysql.com and downloaded the software for XP. So how do I use it? I ran the set-up prog and nothing seemed to happen. PHP - can you configure IIS to run PHP? if so how? Sorry if these questions are totally obvious to you all but I've been online searching for a couple of hours without any answer to these questions. I might be asking the wrong questions. I hope I am anyway! Thanks in advance. Steve.