Wel there are a few options out there (PWS, Apache, et.), the one I'm currently using is Abyss web server:
http://www.aprelium.com/
It supports CGI and is easily configured for PHP (I did so with mine in under 5 mins.). Definitely worth a look

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PS: This thread will now be located in the "Other server side languages/ issues" forum for continuance where it is probably better suited as setting up a server to run on your computer is essentially a server side issue. Good luck