I prefer downloading and installing the same version of the individual daemons (MySQL then Apache then PHP) but most people only want a "snapshot" test server so any of the "canned programs" can suffice. Actually, they make installation easier for you but must know to place your "test server" files in the Apache htdocs folder. If you don't know where that is, your browser can display its contents via http://localhost. Once you're comfortable with that, add "virtual hosts" to your httpd.conf, httpd-vhosts.conf and hosts file and you can have your test websites anywhere on your computer.
Too quick and dirty? If that's the case, I'd recommend that you visit the installation page and then the forums for the "canned program" you've selected.