The biggest risk is to your sanity if you use PWS!
Anyway thats my digging done, If you set up PHP4 it hardly touches the registry and is a much easier install than PHP3.
Just backup your reg'y if you have any concerns, I use configsafe but even windows can back it up safely.
But seriously, have you thought about Apache? if you d there is a bundle here http://www.firepages.com.au/php.php3 - (just follow the feather) it is a zip (2.5mg) of php4/MySQL/phpMyAdmin/Apache 1.3.12 - it is all configured to run on win98 if extracted as advised. - works like a dream on 98 but some people have had problems on 95.
There should be no risk involved in setting up the above Apache/PHP bundle. However, I would not recommend Apache as a Windows Web server. The Windows version of Apache is slow and unstable compared to its UNIX version and to other Windows Web servers.
Consider trying Sambar server (http://www.sambar.com/). Instructions for setting it up with PHP are provided in another post of mine in these forums (run a search for posts containing "Sambar" from user "kyank"), and Part 1 of my series will be updated soon to include this information.
Neither Apache nor Sambar will mess with the rest of your system configuration, however, so there is no risk involved in installing either of them.