After about 30 minutes of fiddling around with various settings, I was able to figure out what the problem was.
(Note, if you click the "Details..." button, you can also install Microsoft's free FTP server.) Once that finishes, you will have a directory called c:\Inetpub\wwwroot on your hard drive that contain the files that your web server will serve.
To test your server, use Internet Explorer or Mozilla and type in " or " in the URL.
Of course, you could always download and install the free and robust Apache web server, but IIS is somewhat simpler and the documentation is better.
[begin heated debate...] You don't need to buy the more expensive Windows XP Advanced Server or Windows 2000 Server to run IIS.
Create a text file called "Default.asp", type something in it, and save it to the wwwroot directory.
When you reload your site again, you will see the file you just made displayed in the browser.
The Internet Information Server (IIS) is not installed by default on Windows XP.
To install it, one must log in under an account with administrator priviledges, and go to "Control Panel"-"Add/Remove Windows Components." Just check the "Internet Information Services" checkbox and complete the installation.
However, the XP Professional standard EULA (license) states that at most 10 computers may connect to your machine for IIS, File/Printing services, and remote access.