I have installed PHP 5 on XP and find the PHP directory has 3 executables: php.exe php-cgi.exe php-win.exe

What are the three files and when are they used?

They're variations on the Command Line Interface versions of PHP5. In particular, php-win.exe runs commandline PHP scripts without needing to have a DOS terminal emulator open. If you're just starting out, you probably won't be looking at running CLI PHP for some time - in the meantime, the PHP website has a detailed discussion of the various types of PHP CLI available, how to enable them and how to use them.

http://uk.php.net/features.commandline

Take it easy,
Dan