The php4isapi.dll file is ONLY for using PHP with IIS. You don't need it with Apache.
Your install steps look pretty much okay. I would've installed apache before installing PHP, but your way works. You're running PHP as a CGI, which means apache runs the php.exe interpreter for every script that's requested of your server. The other way to do it is install PHP as an apache module; that way, the PHP interpreter implementation is loaded in memory and accessed via a DLL.
For instructions on how to do this, read:
I don't understand why you get an error message when you start your computer. The only explanation is that you have some application that's trying to access the GD library during starup.
PHP comes with a version of the GD library in it's dlls directory. It also comes with a version of iconv.dll, which isn't part of GD, but GD uses it. These DLLs are named gds.dll and iconv.dll, if I recall correctly.
I would suggest getting PHP working with Apache FIRST before trying to install any additional extensions. By doing this, you can verify that your problems are due to the extension and NOT some other random installation problem.
Once you have PHP installed and working properly (that is, a simple phpinfo() script displays without error), then enable the GD extension.
Let me know how it goes.