Microsoft initially made Web server software only for their server products (Windows NT Server / Windows 2000). In fact, Microsoft's "real" Web server - Internet Information Server (IIS) - is only available on NT Server and Windows 2000. However, for some time now, Microsoft has made a watered down version of a Web server available for Windows 9X and Windows NT Workstation. This watered down Web server is called: Personal Web Server (or PWS for short).
Many folks who are interested in learning about ASP or enjoy working on ASP at home use PWS to tinker around with ASP at their liesure. PWS is great for this. However, people frequently ask, "How do I install PWS? How do I get started?" PWS, fortunately, is free, and can be downloaded from Microsoft's site, but it is a large download (around 34 MB). It is also commonly available on many Microsoft products, such as Visual Studio and the Windows 98 CD.
A great article on setting up PWS is available at: http://www.coveryourasp.com/PWS.asp. Be sure to check it out. It steps the reader through installing PWS both through downloading the files from Microsoft's site and through the CD installation.