I've just installed a WordPress blog for the first time. It's running on Windows 2003 and IIS. It was kinda tricky to set up, but now that it's running it's very, very nice!
There's plenty of walkthroughs on how to do this, and here are some links to the ones I used.
I know I'm late to the WordPress party, but I can't wait to start pushing the system to see what it can do. It may become my website building software of choice.