PHP 5.2.8 is a release of the language.
I will assume you are running windows.
If you downloaded php and it needs to be installed than it should either have a .zip or .msi extension.
The .msi should run when you click it, the .zip will need to be unzipped windows xp and beyond have this capability built in to the os otherwise you need to get WinZIP or something similar.
Otherwise you might have downloaded the source code, this would have a .tar.bz2 extension. Unless you have a reason to deal with compiling the source code I would suggest you down load the windows binary:
http://us3.php.net/get/php-5.2.8-win32-installer.msi/from/a/mirror
If you want the fastest most pain free way to get php installed and working on your windows system I suggest xampp:
http://www.apachefriends.org/en/xampp.html
it will not only install PHP but Apache and MySQL and you will be ready to rock with all three in minutes.
