Double-clicking the file will not work.
You rarely 'run' a PHP program in the same way you'd run a Java program or a C++ program. PHP was designed from the beginning to be integrated with a web server.
You really need to have a web server enabled in order to test your PHP programs. You've got two choices here: Post your work on a remote server for testing, or install your own. Neither is difficult.
The easiest solution is to use a hosting service. Freehostia has a free hosting account with adequate PHP and MySQL service (it also does not have any advertisements on the pages.) http://freehostia.com
Sign up for a free account and then use the control panel to upload your php file to the server. Then point your browser at that page on the server, and it should run. Uploading your file every time you want to change it could be a pain, but many programmer's editors come with integrated FTP support that automate this task.
If you want to test on your local machine, you need more than PHP. PHP won't do much without a web server, and you'll need the server to be configured to handle PHP. The best way is to get a complete package that installs everything together. XAMPP is my favorite solution. It includes apache (a popular and powerful web server,) PHP, MySQL (a database tool) and a bunch of other great tools, and pre-configures them to all work together. XAMPP is available free for all major platforms:
http://www.apachefriends.org
Once you've got apache installed, begin by running your web server (via a control panel that comes with xampp) Then look for the htdocs directory of your apache installation. All your PHP files need to go in this directory, so move your program there. Open your browser, and point it to http://localhost/myFile.php (where of course myFile.php is your file's name) It should work.
Hope this helps!