You may already know this, or you may not.  However Microsoft really wants you to develop your websites to run on Windows.  Especially if you are an amateur developer.  So much so that they are willing to give you versions of some of their most expensive software for free.  They must figure that if you use Microsoft software for your spare time projects you will need to use it professionally.

Microsoft has a put a bundle together for anyone to download for free on their Windows computers called the Microsoft Web Platform.  It is a compilation of popular web applications, the .Net Framework, Internet Information Server (IIS), SQL Server Express, Visual Web Developer Express, and a bunch of extras (Including PHP for Windows).  With these tools you can make just about any web application you could ever want.  This is a great way to get a development server up and running on your computer without the need to have a virtual machine of buy tons of software.

Persoanlly, I think it would be better to have a virtual machine running all the actual software your live hosting enviroment will have, but this is still a great way to get started without the compleixty of having to run an entire web server.

You can download the Microsoft Web Platform from: http://www.microsoft.com/web/