Hey why are you running PHP with ISS? You are better off with Apache. For your development environment, you can use Windows but if you have got another machine, you can use Linux or any other UNIX variants. I mean you can code and design your web interface Windows while you run your scripts on Linux on another box.
Configuring PHP, MySQL and Apache individually can be challenging for a newbie but there are helpful one-install products that will help. My favourite is XAMPP available at
http://www.apachefriends.org/en/xampp.html. This is the link to download the Windows installer one -
http://www.apachefriends.org/download.php?xampp-win32-1.6.1-installer.exe. I recommend this one. Please remember to disable or change the port for ISS. You might also have to take care of your previous MySQL installation. XAMMP will install Apache 2, PHP 5, MySQL 5 among others for you and configure them to work together.
Finally, here is a simple script to connect to your database.
<?
$db_name = "mysql"; // name of your database here
$db_username = "root"; // username for database here
$db_password = ""; // password for database here
$mysql_link = mysql_connect("localhost", "$db_username", "$db_password") or die( "Unable to connect to database server");
@mysql_select_db( "$db_name") or die( "Unable to select database");
?>