Craig Buckler has posted a guide for installing the latest PHP release, v5.3, on a Windows machine with Apache (though that part is covered in a different place).

This is the most significant update since version 5.0 and several features that were originally scheduled for version 6.0 have been slipped into the build. You'll be hearing about these on SitePoint soon but, first, we need to install PHP 5.3 on our Windows development systems.

They link to another tutorial to get you through most of the installation part but point out which of the binary files you might need for your system (from windows.php.net). There's also a brief mention of the changes in error reporting in PHP 5.3.