You'll need a web server in order to process Active Server Pages (ASP).
Microsoft's web server is part of Internet Information Services (IIS). This is usually installed to server editions of Microsoft operating systems, such as Windows 2008. It'll work on Windows 7 also, and should be adequate for development purposes, but suspect there are limitations that might make it unsuitable for demanding enterprise applications.
To get started in writing ASP scripts, I would suggest installing Visual Web Developer Express, which is available for free from Microsoft. You'll find the installation includes a development web server that requires little or no configuration, which should help you to get up to speed.
Note that ASP and ASP.NET are two different languages. ASP.NET is a newer scripting language, based on the .NET Framework, and integrates better with newer versions of IIS. ASP on the other hand uses good old COM.