Write ip to arduino from web site (PHP).

You have PHP code now that sends data in a format that the Arduino understands. You need to expand on what the Arduino understands.

    if (msg[6]=='#') {
      switch(msg[5]) {
        case 'R':
          // Se receber o comando 'R#' envia de volta o status dos
          //   dispositivos. (Que é a string 'Luz')
          client.write(Luz);
        break;

You might have 4 more letters that correspond to the 4 octets of the IP address. Match the write-to-EEPROM code to the correct letter. 6 additional letters for the MAC address parts would work, too.

Of course, turning the whole protocol around so that the command comes first, followed by a variable number of values would let you use use two more commands (I and M, perhaps).