I've been away from PHP for way too long now. There was once this nifty little tool called phpTriad which would install PHP, MySQL and Apache right onto your computer and would allow you to use it right off the bat. Does anything like this exist now?
Yeah xampp is the way to go.
Although it's builtin MySQL adminning tool sucks - for that you need MySQL Administrator and MySQL Query Browser (from here). They work much better, plus they're made by the MySQL people...