This post describes the common software tools that I recommend for developing with Yii.
1. You need PHP, a web server such as Apache, and likely a database server such as MySql. You can install them individually, or use a package such as WAMP or XAMPP. I recommend XAMPP, because you can't uninstall WAMP.
2. You'll want an IDE, such as Netbeans or Eclipse PDT. I prefer Netbeans as it's simpler and faster.
[You'll need Java installed to run the above IDEs]
3. You'll want the xdebug debugger for PHP:
4. If your apps will send emails, then I'd recommend PHPMailer:
5. If you are planning on doing test-driven development (and you should), then you'll want PHPUnit and Selenium.
6. And obviously the Yii framework!
If you're on Windows, then you may need 7-zip to open the Yii .gz installer file.
You should also read this, to setup code completion in Netbeans: