PHP is most often found installed on your host server if you subscribe to a half decent host service. You shouldn't have to do anything to make it work. You just name the files you use with it using a .php file extension so that the server recognizes that it needs to use PHP to process the file.
It may be possible to install PHP on your own PC, though I am clueless to say more on the matter. Chances are if you don't know what PHP is, you won't want to deal with creating your own.