Setting this all up assumes you have a running version of Linux already installed. I wont walk you through that part.
Read it here
If you dont have one and have an old box youd like to use, Id suggest using Debian as we are about to. But if you are new to Linux, you might want to try using a hard disk installation of Knoppix as the procedure will be identical.
Of course, you arent limited to Linux exclusively. All elements of LAMP (sans the Linux part) have been ported to most operating systems.