@Ivar T:
Sorry, but there are NOT some free microsoft programs that might help when doing PHP. But if you want to start with real programing, try their so called Express Editions for C# or VB.NET. Real good free IDE's (IDE = Intregrated Development Environment) powerful enough for small to middle projects. My Tip, start with C#.
You can do Web or Desktop Applications with C# and the Syntax is similar to all other great programing languages. Note: you start messing with MS but thats not the worst thing you can do Try to look for documentation on other platforms, compare with MSDN and you know what i mean.
If you look for a free PHP IDE, try PHP Designer 2007 - Personal . Don't forget that you must have Apache and PHP installed to code PHP local..