Of course most linux platforms ship with apache, php and mysql installed. But if you want to perform simple tasks such as adding extensions or upgrading your php version (which can occur very often with php), you'll need a good linux guy if you are not experienced at compiling and recompiling.

On the other hand, Apache, php , mysql on windows work quite the same, except for small differences like the PATH_SEPARATOR. In fact, even if it is not quite designed for windows, this Apache, php & mysql thing installs in a few clicks and can work on a production environment.

To install these, don't bother downloading separate packages first. The easyphp program is an installer that will do that for you, it weighs around 10mo and is a full installer for apache, mysql, php. It ships with phpmyadmin,  a php program that administrates the mysql server. My advice there is to install easy php in somewhere else than program files because your web root folder is a subdirectory of the easyPhp install.

As mentionned above, windows is good for adding extensions to PHP : just uncomment the line of extension dll by removing the ";" character in the php.ini file, php's configuration file. One strange thing though, is that you'll find it hard to get the extension working just like that. It must be a bug of PHP : even though the extension folder is clearly defined in the php.ini, I found that extensions are more easily found when their dll file is placed in windows/system directory. For some extensions such as php_domxml.dll, I also had to move iconv.dll to the system folder because domxml depends on it. Same for php_gettext.dll, I had to move it there along with libintl-1.dll.

Apart from these small tricks, you'll find that installing PHP, Mysql and Apache on windows is really worth in terms of ease of administration.