Getting GD to work

I can seem to use gd2 related functoins in my php script.
Any call to a gd funtion results in a fatal error: undefined functoin message.

The gd website says that php should support it out if the box - so how do I turn it "on". I dont have a php/extensions directory and the gd website says that the dll they provide is not for php so where do i get it from.

Thanks for any help

Sorted- I had downloaded a version which was just the cgi - no extensions!