Remember: all the credits for this solution go to Ziya Suzen
Here you can find a complete solution that does just that: when executed from within Visual Web Developer it shows a list of files in a browser and when you select index.php you'll get a nice text "Hello, world!" that's being generated by PHP.
A few notes about the modifications I've made:
1. The php-cgi.exe executable has a fixed path build in. It's X:\programs\php\php-cgi.exe.
2. For some (yet) unknown reason the PHP script processor complains when the REQUEST_METHOD variable is set so I've commented it out.