If you are installing it on a Windows machine, go with XAMPP.
if you are installing it on a Linux machine, well it is probably already installed (eg. RHEL or Ubuntu Server come with it)
I just went to the MySQL and PHP web sites, downloaded and installed them separately, and it all works fine.
WAMP will be the easiest way to go.
It is a windows xp pro (sp2) machine.
Then go for xampp.
and somewhere in the installation steps, be sure to install Apache and MySql as services so that you dont have to start those manually.
If you are Windows:
XAMPP and WAMP are excellent choices to get it setup quickly. I personally prefer WAMP.
If you are on Ubuntu:
Use the Synaptic Package Manager to install packages for Apache, MySQL and PHP.