2) Create the "C:\PHP" directory.

Double Click on the "My Computer" icon on the desktop to open the "My Computer" window (A), and double click on the "Local Disk (C:): icon (B) to...

...  see all the folders/files (C) in the C: root (D). Right click the window anywhere near the list of folders (C), 

and choose "New" (E) , then "Folder" (F) ...

and type "PHP" over the "New Folder" (G) default name...

 to create the new C:\PHP folder in C: drive's root.

If you click on the "Name" column header (H) in the list of files/folders in the C:\ drive window, you should see the two php folders ( I ) that we will work on in the next installation step. Before we proceed to the next step of copying the needed files to the new PHP folder, you should now open both folders ("PHP" which we have just created and the "php-4.4.1-win32" folder which was created in the previous Step #1.)  Place the folders' opened windows side by side to facilitate the right drag/copying of files from one folder to the other.

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Previous Step:1) Extract the zip file in the root directory of drive C:

Next Step    : 3) Copy all the needed files from the C:\php-4.4.1-win32 folder (and two sub-folders) into the C:\PHP folder