First, install the apache, then mysql, follow by php.
If you think it's a real hassle to do all the troublesome installation, go to firepages.com.au, there are some great packages come in bundle, simply install it. It's already configured.
But I'd advise try doing this all by yourself, you'll learn better by some practical DIY.
To save you some time, here are the links.
For linux installation:
(browse over the tutorial links)
After installation successful, you can read some tutorials on how to create and make use of the database on your server. There are lots of great tutorials on websites. Personally I'd recommend using Paul Dubois's book -> MySQL. It's a good starting point.
Then try familiarizing yourself with some simple php commands.
After you're used to using MySQL, you can start trying the phpmyadmin as an alternative, very easy and intuitive. You can start tweaking it in no time if you already know some MySQL basic commands.
Then keep on practising. You'll become a guru one day.
Hope this helps a bit.