If your server supports PHP you don't need to do anything.
Just create some .php files in your web directory, and the server will parse them for you. Because it is free, most web hosts offer PHP support.
However, if your server does not support PHP, you must install PHP.
Here is a link to a good tutorial from PHP.net on how to install PHP5:
Download PHP for free here: http://www.php.net/downloads.php
Download MySQL for free here: http://www.mysql.com/downloads/
Download Apache for free here: http://httpd.apache.org/download.cgi
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