Do you intend to write an ASP/ASP.NET scripts? You'll need IIS if that's the case. If not, you could go for Apache. I've found IIS easy to set-up, but then again I also found Apache to be equally easy despite being entirely text-config based. I've also had eight years experience of each :\
You could, as an alternative, use something like PHP Triad or Sokkit that does the installation and configuration for you - leaving you to run your own web site/development site on your own PC.
The question is: Do you want to get your hands dirty or not? :)
IIS is amazingly easy to setup. You need the windows XP installation disk on hand before you start. Then navigate to the control panel,click add/remove programs. Select the option add/remove windows components and tick the box "Internet Information Services (IIS)" and click next, it will install the software for you. Then just add a virtual directory once its installed to setup your site, you will need to tell it which port to route traffic from etc, make sure if you are using a router, that you have routed the ports in your routers interface to the port your IIS server is using (usually port 80)
Alternatively you can obtain a shareware version of a server, or a freeware version off download.com, by typing "web server" you should get a few options of some good software, I reccomend miniportal, it runs on an apache core, and is easy to configure.