Your browser was designed to read HTML only. If it needs to read something else (PHP, Perl, ColdFusion, ASP, etc.) it needs the interpreter. I'm guessing you don't have PHP installed on your machine, so your browser has no idea what to do with a .php file.
When the .php file is on the web server, a request comes in and the web server recognizes that it is a PHP file so it gives it to the PHP interpreter to translate first. Then it gets sent to the user. On your machine, though, there is no web server or PHP interpreter so your browser is just making a wild guess. Thus the white page.