it will tell you where it is, and then you don't have to go to IE and run
http://localhost/phppage.php, you just hit i think debug or something like that in zend and it will point you to the right spot
it also does many other things for you just can't think of them off the top of my head
your best bet would be to go to zend.com and click on Zend Studio product and take a peek at the features