Generally when one speaks of compiling PHP, the context is in terms of taking the source code for PHP itself ("Complete Source Code" on the PHP download page) and running a series of programs from the command line to create the PHP executable. That process of going from raw source code into an executable/binary program is compilation. The compiled program (php on linux/unix, php.exe on windows) is what interprets/runs all of our PHP code.

Are you looking to compile PHP yourself, or just looking to see what it's about because you didn't understand the meaning?