IF PHP is supported by your server then you need not do anything.
You need not to compile anything or install any extra tools.
just create your php files and save them in your web directory.
Then server will parse them.
And if PHP is not supported by the server, you should install it.
Here is a link to a good tutorial from PHP.net on how to install
Download PHP for free here: http://www.php.net/downloads.php
Download MySQL Database
Download MySQL for free here: http://www.mysql.com/downloads/index.html
Download Apache Server
Download Apache for free here: http://httpd.apache.org/download.cgi