For German users there is a very great tutorial in setting up a local test environment on windows on www.wintotal.de/Artikel/lokaletestumgebung/lokaletestumgebung.php .
Documentation for running PHP as CGI under the Tclhttpd: http://wiki.tcl.tk/12130
4D WebSTAR V for Mac OS X supports the default CGI compile of PHP. Note that most compile instructions for PHP on Mac OS X are specific to the Apache server.