I have an application PHP/MySQL that I managed to run via PHPDock.
(I had to install the MySQL libraries and twiddle a little bit in php.ini)
I have one remaining issue, the session variables are lost (?) when I open a new window.

So resumed : I run WAMP Windows/Apache 2.*/PHP 5.1.*/MySQL then everything works fine
PHP Dock: I cannot find session variables when I open a new window (via Javascript window.open)

make sure that session.save_path is properly set, session.use_cookies is On and session.auto_start is On too. When session.auto_start is off (default) you have to start sessions explicitly. Check php manual pages related to sessions handling in php.