Hi,
I don't run DD-WRT, but generally speaking:
'PHP is a script language which outputs HTML through a webserver. '
In order to run php, you need to have a webserver which can run php.
then you open your internet browser and point to a php file located on the webserver. If it's processed correctly (eg. the script finishes without errors and html is outputted), then you know php works.
HTH.