I like programing on my localhost, however it really bugged me to make changes to index.php & config files on my production server. After combining all available wiki articles on this topic and some trial and error this is what I use for my applications so I could just upload it to production server and it will work without any changes.
This article explains issues about installing XAMPP server package (Lite version) on Windows OS and configuring it for serving webapps written in Yii. Please note, that XAMPP is available for many more platforms and systems. I write about Windows edition as it was the only one tested by me.
I was playing around with another PHP framework which I didn't really liked anyway but it had simple and nice integration for PHP built in web server so I decided to write one for Yii (since this is my primary PHP framework)