For PHP there's no licensing problem. MySQL requires an OEM License for distribution in a closed source package.
If you check with google (see
http://www.google.com/search?hl=en&l...b+server+on+cd) you will see that most of these products don't create a monolitic EXE/DLL and some provides read/write features for DBs even when started from CD/DVD (using authomatic copy to HD).