We'll go over for installation on Windows in Linux using XAMPP/LAMPP - but we won't go over MAMP or XAMPP for Mac as I have no experience with it. XAMPP/LAMPP is open source and free of charge, so no worries about having to purchase anything :)

XAMPP/LAMPP comes with Apache, PHP, MySQL, Perl, SQLite, phpMyAdmin, OpenSSL, GD w/FreeType, and much more - so it should have everything you need for development.

Windows

1. Download XAMPP from SourceForge. (this is an exe file)
2. Once downloaded, double-click on the file to being installation.
3. Installation is pretty self-explanatory, as the Windows process guides you step by step.
4. Once finished, you will have a new desktop shortcut - anytime you want to start the development server just click on this icon and start Apace/MySQL.
5. By default, the environment is rather open in terms of security, so you need to run http://localhost/security/ and run through the instructions.

Linux

1. Download LAMPP/XAMPP from SourceForge.
2. Once downloaded, open shell/terminal and login as the system administrator root:
   su
3. Extract the downloaded archive file to /opt:
   tar xvfz xampp-linux-1.7.2.tar.gz -C /opt
   Warning: already installed XAMPP versions get overwritten by this command.
4. That's all. XAMPP is now installed below the /opt/lampp directory.
5. To start XAMPP simply call this command:
   /opt/lampp/lampp start
   
   You should now see something like this on your screen:

   Starting XAMPP 1.7.2...
   LAMPP: Starting Apache...
   LAMPP: Starting MySQL...
   LAMPP started.
   		

   Ready. Apache and MySQL are running.
6. By default, the environment is rather open in terms of security, so you need to run /opt/lampp/lampp security and run through the instructions.

That's pretty much it. On either Windows or Linux, be sure to test things out :) It'll be http://localhost on either setup, and simply going to localhost will give you different options and access to installed programs.

Let the development begin! ;)