You got it!, PHP is server side scripting, if there's no server.. it cant script! So install
Xampp, or Wamp (xampp is better!) It'll create a folder c:/wamp/www/ That is your "localhost"? It'll all become clear when you've done it. Remember that some php scripts wont work on the server your install, as your hosted, try double checking before you give up completely (as I have done duh!)
The main difference between xampp and wamp is not only it's extra "p" but its user ability wamp is easiest, wile xampp is slightly more difficult!
Try them both out, and enjoy!
Hope this helps
karlos