For local development, <a href="http://www.hotscripts.com/Detailed/34121.html">give this a looksie</a>. Wamp server installs and automatically configures Apache, PHP, and mySQL to run on your machine. It sure beats messing around in the Apache INI file.

Working on your own computer is so much easier than constantly uploading to a web server to see your own script.

How do I then install things into my webspace?
If your hosting server has PHP etc. installed, you just upload the PHP scripts. As for actually installing PHP and whatnot on your server, that has to do with your host. Purchase a hosting plan that offers PHP and mySQL. Virtually all paid hosting plans offer this package these days.