The most likely reason for this is that you haven't told Apache that .php files are acceptable.
If you followed a tutorial (there should be one in with the PHP distro you installed), then there will be instructions on setting it up with Apache in order to work properly.
What you need to change depends on the version of Apache and of PHP which you have installed, so I would recommend that you check your PHP files for an installation guide, and if you have any further problems then let us know what versions of Apache and PHP you have and someone may be able to help further.
Of course the problem could be as simple as starting the server like Amadeus said, but I'm assuming .html files work since you said specifically you had problems with .php files, which would imply that you have the Apache server up and running...