In PHP 5 there were some changes in CLI and CGI filenames. In PHP 5, the CGI version was renamed to php-cgi.exe (previously php.exe) and the CLI version now sits in the main directory (previously cli/php.exe).
In PHP 5 it was also introduced a new mode: php-win.exe. This is equal to the CLI version, except that php-win doesn't output anything and thus provides no console (no "dos box" appears on the screen). This behavior is similar to php-gtk.
See also the command line reference.