I'm not going to waste time, or keystrokes here, so let's cut right to the chase. Go to Start > Settings > Control Pannel > Add/Remove Programs, and on the left nav bar, select "Add/Remove Windows Components". A new window titled "Windows Components Wizard" will appear. The fifth item on the list is "Internet Information Services (IIS)", be sure to check the box next to it before continuing by pressing next. You will now likely be prompted for your Windows cd, so put it in the drive when it asks for it.
Once IIS is successfully installed, you need to clean up the folder it created for you. Go to 'C:\Inetpub\wwwroot' and delete every file in the 'wwwroot' directory. DO NOT delete the folders, or files inside the folders, just the files located in the 'wwwroot' directory!
Now for a quick test to insure IIS has been successfully intalled. In your 'wwwroot' folder, go to Tools > Folder Options, select the 'View' tab and the on the 12th line, you'll see "Hide extensions for known file types", be sure this is unchecked, then press 'ok'. Right click in 'wwwroot', and go to New > Text Document. Rename this new file to 'Default.html' (more on why we named it this later). It will warn you that your changing the file type, which is exactly what we want to do, so say 'ok'. Right click 'Default.html', go to 'Open with...' and choose Notepad or Wordpad.
Now type the following exactly as it appears: