Is this an install for Production published site on the Internet or test, setup for your local workstation?
If it's for a local workstation installation you might just want to install WAMP (search google for the download) and it will automatically install all the required software to get you up and running for testing, playing with it.
If it's for the Internet on a running Server 2003 VPS or Dedicated then you need to setup IIS6, MySQL, and PHP and pay attention to security.
