AFAIK, there are special problems with PHP and XHTML.
(1) The PHP script with the header() codes must come before any other characters in the document. This means your document cannot by default include the <?xml version="1.0" encoding="UTF-8"?> processing instruction (though you can include it in the PHP script's output). Religious zealots like myself hate leaving off the XML prolog..
(2) To pass the PHP-scripted document to the PHP interpreter, you need to have code like the following in your .htaccess file:
AddType application/x-httpd-php .pxhtml
Then, of course, you still need the content-type override, as PHP usually outputs HTML.
liorean: yes, running a PHP script as a directory within the URL can be done; Firepages showed me once about that. I'd have to look on my machine for the details.