Yes .. php is a server side scripting language which mean it is executed in a server and the result is send to the visitors browser as html file. So in order for you to test php in your own system you need to have a server installed. I recommend using xampp for which installation is quite easy.
www.apachefriends.org/en/xampp-windows.html
You need to download only the basic package it will serve all the functions.
Download and unzip to a hard drive or USB and follow the 'read me' file to in stall the server and php.