Is there some software which can imitate PHP server but when I'm offline and it's located on my computer? Because I use dial-up, and I can't connect to Net whenever I want and test my site, I'm just curious if this is maybe possible.

You can use the XAMPP server.

It will automatically install Apache, SSL, PHP, MySQL with a bunch of other addons too.
Which will enable you to emulate a web server.

Visit this for more info : apache friends - xampp

Note: I also use it to test sites/scripts locally.

I use Install PHP 5 Apache MySQL on Windows : WampServer
Its good for me.

Never tried XAMPP

I use easy php it is too easy to configure

i use XAMPP BUT right now don't work (i have vista...)

Use
Install PHP 5 Apache MySQL on Windows : WampServer
Working fine in vista for me for more then 1 year

Well, XAMPP works fine for me on VISTA

Wamp also working fine. compare to xamp, wamp is easy one.