Don't be too put off. It's not that difficult to set up, and once you get it working you'll love the flexibility. For example when you want to share a file with someone, you just save it in c:\inetpub\wwwroot, and then anyone can view it at
http://yourip/thefile.
As for all the software, everything which I mentioned is free. PHP can be downloaded from
www.php.net, and mysql from
www.mysql.com.
As for the basic steps of configuring everything, simply do this (assuming you are running WinXP):
1. Go to control panel
2. Add/remove programs
3. Windows Components
4. Tick Internet Information Services (IIS)
5. Press next/ok/whateveritis.
After it's installed, anything you stick in c:\wwwroot\inetpub will be visible at
http://localhost. You can use many of the free dynamic IP services to forward a subdomain to your IP. I use .ath.cx from
www.dyndns.org.
If you need to configure any settings for IIS, just right click "My Computer", click Manage, and theres an IIS configuration snap-in near the bottom.