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Windows 95 / NT 4.0 Workstation 
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The latest version of Personal Web Server / IIS is 4.0. It includes ASP 2.0, and is found in the Windows NT 4.0 Option Pack, which you can download here. If you are running NT 4.0 and IIS 3.0 / Peer Web Services, these products do NOT include ASP. You will have to find ASP.exe to make ASP work; however, I'm not going to place the link here, because I strongly believe that you should use version 4.0. 
 
After installing the Option Pack, you'll want to [re-]install Service Pack 6a (which, among other things, updates ASP.dll and fixes several security holes in IIS). 
 
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Windows 98 
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Find "pws.exe" on the Windows 98 CD. THAT is the version you should be installing, NOT the one from the web site and NOT the one from the FrontPage CD. 
 
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Windows 2000 Professional 
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Windows 2000 includes a scaled-down version of IIS 5.0. If you didn't install IIS during initial installation, you can find it under Control Panel >> Add/Remove Programs >> Add/Remove Windows Components. Make sure to install the latest service pack (SP4 at the time of writing). Watch KB #260910 for SP updates. 
 
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Windows Millennium / XP Home 
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Article #2079 contains a description of Microsoft's lack of support for these configurations, as well as workarounds to make them work correctly. 
 
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Windows XP Professional 
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Windows XP includes a scaled-down version of IIS 5.1. You will likely have to go to the Control Panel >> Add/Remove Programs, Add/Remove Windows Components to configure this service, as it's not installed by default. 
 
All "scaled-down" versions of IIS / PWS have the following restrictions: 10 connection limit, you cannot use host headers / multiple web sites, and you cannot change the port of HTTP services. 
 
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Windows Server 2003 
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Windows Server 2003 does not have IIS enabled by default. For instructions on installing IIS and general troubleshooting ideas, see Article #2476. 
 
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All Versions 
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Keep your installations running smoothly by installing all service packs, scripting engine updates, and MDAC updates. For information on keeping your server patched, see Article #2151. For the latest scripting engine updates, see Microsoft Script Downloads. For the latest MDAC updates, watch MDAC Download Page.