PHP-Nuke requires you to install it on a server that has PHP, a database like MySQL installed.
Try to get Apache, PHP, MySQL running on your computer. Get PHPtriad or any other software that cofigures and installs all the 3 components on your system with a single click. Searching for WAMP (windows apache mysql php) will give you more such software and guides.
PHPtraid is good if you have windows platform... It will do everything... Komodo is very good editor for PHP/Python/Perl etc but is not free....
You can start writing PHP programs in notepad. Just make sure you change extension to .php... Tell us which platform u intend to work on... Then maybe more specific answers from the techies will come...