php is a scripting language that has to be interpreted. this is done through server software. If you wish to use php on a winxp machine, you'll have to ensure that some form of server software is runiing (iis is most common for windows). Then you'll have to install the php interpreter, put the files in the localhost directory, and access the web page through an internet browser. You can get the required downloads (php, not iis) at php.net. It also has excellent documentation.
Operating systems do not really impact php programming per se. No matter what operating system you run, you will have to install a local server at the minimum, and view the resulting web pages through an internet browser. php is a server side scripting language, and therefore has to be interpreted through server functionality. If you us windows, you can install iis, or if you use linux, you can install apache, but server software (or at least software that emulates a server) is necessary.