I just did it earlier today in Windows XP.
First, download the zipped version of PHP, and extract it to c:\PHP (or anywhere else, but then you'll need to change some of the paths below.
Then, stop your Apache server, and add these lines to the bottom of your httpd.conf file:
LoadModule php4_module c:\php\sapi\php4apache.dll
AddModule mod_php4.c
AddType application/x-httpd-php .php
Then copy php4ts.dll to the windows\system32 folder (or if that doesn't work then also copy it to the windows\system folder).
Start Apache, and it should work. If you need any more help with this, let me know.
By the way, all this is in the install.txt file in the zipped version of php. For some reason, php4apache.dll isn't included in the auto installer.