The personal collection of the late Henry P. McIlhenny, one of the world's most highly regarded collectors of 19th-Century French and English masters, will be displayed for the first time this fall at the Philadelphia Museum of Art. When he died in May, 1986, he left his collection of 54 paintings and numerous other art objects to the Philadelphia Museum, which he had served for more than 50 years as first curator and later as chairman of the board of trustees. Among the best known paintings: Pierre-Auguste Renoir's "Mlle. Legrand," Paul Cezanne's "Mme. Cezanne," Vincent van Gogh's "Rain" and Henri Toulouse-Lautrec's "At the Moulin Rouge: The Dance."