With Apache at least you have a combination of three things:

(1) HTTP server + stuff
(2) Bridge module between script & interpreter (libapache2-mod-php5 on Debian systems but will be bundled with the installer on Windows)
(3) PHP interpreter to execute PHP code.

The bridge module also integrates configuration (httaccess) and things for PHP so you can disable/enable things based on whether or not the request goes through the PHP module. How and when the interpreter is loaded is up to the combination of (1) and (2). But to the end user/admin that is pretty much invisible.

Anyway, if you want a relatively well tested HTTP server on Windows that doesn't cost you money, I'd go with Apache 2 and PHP 5.3.
http://windows.php.net/
http://httpd.apache.org/download.cgi