As a wrap up of what I've done:
1.- Installed 'MySQL-3.23xxx' normal and 'MySQL-client-3.23xx' otherwise some problems with 'mysqladmin' and passwords. Installed in that order.
2.- Installed Apache 2.0.39. I did read the installation instructions but not all is there. So, I fusioned all the help I got for Apache and PHP from the forums, and configured Apache as follows in one line:
./configure --enable-so --enable-rewrite --enable-module=most --enable-shared=max
Then 'make', then 'make install'. Apache by default installs itself at /usr/local/apache2. Then 'make clean' to free up memory.
Then at the apache default directory, I edited the file ./conf/httpd.conf and changed the 'Servername' to 'localhost'. The DocumentRoot directive I left untouch (directory where your web pages are gonna be executed: './htdocs').
3.-Installed PHP4.2.2 (previous versions with installation bugs!). I used the following command to configure PHP, in one line:
./configure --with-mysql --with-apxs2=/usr/local/apache2/bin/apxs
Pay attention to the second flag of the configuration command!
Then I edited once more the ./conf/httpd.conf file from apache's default directory, as follows:
AddType application/x-httpd-php .phtml
AddType application/x-httpd-php .php
AddType application/x-httpd-php-source .phps
All tests seem to work, so I'll start developing. Thanks to all!