See this, or this.
These days, many Linux distributions already contain PHP, or have it available as a package for installation if not installed by default. There are also binary packages for Windows installations here.
No, but know that other installations will be needed that are not normally found in Windows, such as a HTTP server, like Apache (also typically found with Linux distro's) to serve the pages. Then when it comes to needing database support, then something like MySQL will be needed. (again, found with many Linux distro's) MySQL is probably the most popular for use with PHP, as PHP already contains built-in support for MySQL.
So, with all this being said, notice that Linux, Apache, MySQL, and PHP, collectively, create the acronym LAMP (there are books on this topic), as all these things are typically found together within Linux. Otherwise, the 'AMP' portion is needed for a Windows installation. (I guess the Windows collection could theoretically be called 'WAMP' -- after it's all installed at least.)