I am a newbie, just started developing a web site and wanted to use a registration page using php and mysql. I had the same problem. The following worked for me.
I uninstalled the full version of xampp (although I think this will work with the full version) and installed the lite version.
I used the exe self extracting file. In the lite version there is a read me file follow the basic install info, obviously, you will already have installed it to get the read me file. Whilst installing I got a message about the User Account Control function (UAC) (Windows Vista) suggesting this should be turned off as some elements of xampp may not work, I turned mine off.
I also found a document called Installing, Configuring, and Developing with XAMPP, which you can find at http://dalibor.dvorski.net/downloads/docs/InstallingConfiguringDevelopingWithXAMPP.pdf. this also walks you through the installation process. It's a 2007 document so refers to an earlier version of XAMPP, don't worry it works with the latest version. There are some basic test documents that you need to write, I used NotePad. There is also a mySQL database that you need to create.
One of the key things is copying the phpMyAdmin directory to the the htdocs directory. Which I am guessing is required as php and mySQL are server side operations. After some fiddling writing the php files it worked for me.