In this tutorial, I demonstrate how to install XAMPP 1.7.7 (Apache 2.2.21, PHP 5.3.8, MySQL 5.5.16, OpenSSL 1.0.0e, phpMyAdmin 3.4.5, XAMPP Control Panel 2.5, Webalizer 2.23-04, Mercury Mail Transport System v4.72, FileZilla FTP Server 0.9.39) for Windows XP, Vista, and Windows 7.
I also go through the steps of how to initially setup the XAMPP security settings and how to get started using your new XAMPP server setup.
You need to first download the Installer package from http://www.apachefriends.org/en/xampp-windows.html.
You will also need to have a computer running Windows 7, Vista, or XP. You can use VirtualBox, a free virtual machine software, to run it on a blank install of Windows.
** UPDATE – 12/17/2012 **
Check out the updated tutorial, How to Install XAMPP 1.8 On Windows 8