If you are running PHP on a web server, make sure you have a host who is setup to run PHP. If you aren't sure, the bests way to find out is to simply e-mail them and ask.
If you are running your PHP script on a Windows computer, you need to manually install PHP. Once it is installed your browser should run your PHP programs directly from your computer.
If you are on an Apple, you already have PHP on your computer, you just need to activate it to get things working.