I am new to PHP, just downloaded it, and wrote a \"Hello, World!\" program:
You'll have to pass it through a webserver of some kind, for example IIS or Apache, for it to work.
PHP is a server-side language, thus you can't just open the PHP file in a browser. Instead, try googling some free PHP hosts, and upload your files there.
You could for example go for these solutions that will provide you with what you need:
Those solutions will install Apache, MySQL and PHP and allow you to play locally with PHP development. Later on, if you want to deploy your code, you will have to find an external host (or host it on your own computer).