Its used to set up site's :D
Download WAMPP server from here : http://www.wampserver.com/en/download.php Once downloaded, double click on the exe and choose the destination. (C:\WAMPP). That is it. It gets installed automatically. You can setup firefox as your default browser in case you want to. To start WAPP server, goto Start->All Programs->WAMPP Server->Start WAMPP Server. Now goto your browser and type http://localhost/ You are in the WAMPP welcome page.
You can connect any DB via PHP if you have database specific database extensions defined. LAMPP stack refer to 'Linux Apache Mysql PHP Perl'. Hence this stack is famous for php development as it include all the needed components for web development. Mysql is preferred mostly because it's extension is added by default in XAMPP or WAMPP stack.
Linux variant: depending on the distribution you use, there are (most certainly) prepared packages (e.g. Debian, Ubuntu) to install, if you use a more complicated distro like gentoo, you have to download and compile the source packages (check google for tutorials on that). Windows variant 1: you can employ a prepared WAMPP package (apache, mysql, php, pear/pecl) - find it here: www.apachefriends.org Windows variant 2: you can install all desired services manually (check google for tutorials on windows apache iis)