ASP is the technology Microsoft uses for server-side scripting. ASP can use VBScript, JScript, or whatever is implemented within IIS (MS's web server).
VBScript (the most common language used in ASP) is easy to use with ODBC, and thus, MS Access and MS SQL databases.
OTOH, PHP is server-side and is used mostly with MySQL.
As arch13 stated, there are implementations of PHP and MySQL on Windows hosts so you could mix and match. However, it seems the implementation of PHP has some restrictions on the file system level with Windows that is easier to deal with in Linux because of Linux shell access.
As well, CPanel contains a wealth of GUI tools for using MySQL databases, managing file system security, shell access, and so forth.
Personally, I stick with ASP/VBScript and Access/MS SQL on Windows. I go with PHP and MySQL on Linux. I've converted most of my web sites from ASP to PHP and moved them to Linux hosts. Way more free tools.
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