IIS is a Windows component, which by default is not installed on the non-server editions. To install it, you open Windows components (via Add or Remove Programs in XP), and check the IIS box (see above). It really helps if you have the install CD used to install your system, and for it to have the same Service Pack level as your current OS (and with XP this should be SP3).
Once installed you can open IIS via Administrative Tools in the Control Panel (see above).
Expand the local computer node and the websites node to find the default web site (which contains the IIS help files - see above).
Right click over this and, from the context menu, select New and Virtual Directory (see above).
This opens the Virtual directory creation wizard (see above).
Give the virtual directory a name which means something to you. I called mine AMWeb, with AM being short for Active Math (see above).
I then used the Browse button to navigate to a local copy of my web site (see above).
The next page sets the permissions for the web site. I checked everything except write (see above).
After clicking through the final page of the wizard, you can see the IIS layout again with a new node for the web site.
For belt and braces, I right click over the default web site and select properties (see above).
From there I select the Home Directory tab and make the permissions match my web site (see above). I'm not sure you really need to do this, but it makes me feel better.
However, I am sure you need to carry out one more task. Using Windows Explorer navigate to the directory actually holding your web files. Hover over the folder node, right click, and select Sharing and Security (see above).
Check Share this folder on the network (see above).
It was only after doing this that I was actually able to view my web in a browser (see above).