One of the most famous pains-in-the-neck associated with installing WordPress is getting the Apache mod_rewrite to work. It's not automatic. I've talked about mod_rewrite already in a previous post, but I recently moved to a Windows WordPress installation, and that changes things.
In Windows Server 2008/IIS7, WordPress tells you what you need to do. If you go to the Permalinks section of Settings in WordPress, and you try to change how your permalinks appear, then it tells you to copy and paste the code that it displays into your web.config file. This is great, and a really strong reason to upgrade to Windows Server 2008.
But, since this blog has no budget, we've had to make Windows Server 2003 work. KyleCaulfield.com has a page that explains everything that you have to do to get mod_rewrite working for Windows Server 2003/IIS6. Works for us!