Install a WAMP of your choice. In my case, I used NuSphere TechPlatform and installed MySQL separately.
Get a basic web site working, so you can use it to test with. Using http://localhost/ to get going with is fine, but in my experience that is no good for testing developments long term. Biggest issue is possibly cookies, but localhost has other problems. Best to get going with something like virtual hosts.
Once you have a web site going, use the PhpED new project wizard and it will run the debug wizard script, which will tell you how to put NuSphere DBG into your php.ini file.
You can also install the debugger without the wizard, but if you are not familiar with PHP/Apache/etc. you might find it complicated working out which debugger module you need to use; the wizard will tell you. You can also download the wizard script direct to your site and run it as a web page.
There is various info in the Technical FAQ's
http://www.nusphere.com/kb/technicalfaq/index.htm