It is good that you are switching to me Zend Studio, you will enjoy it.
Normally there are no need to execute a php file directly from your Zend Studio, as you can easily access the file in your browser. But you can also easily configure zend studio to do it. Below are the steps:
1) Create a new project (Local project). You will see the following screen.
2) Enter project name and in location, select Browse. In Browse window, select your www folder and then click finish. Zend will automatially create a folder named as the project name.
3) Click Next and you will see the following screen.
Review your settings as in the picture, and then click finish.
Zend will also create an index.php file which is empty. Add some test code to it and then run it, you will see the output in the builtin zend studio browser.
Hope this will help you.
Thank you