>Also - my impression is it should(?) run from any directory simply by selecting from Window's Explorer.

It´s not true. You must setup a Virtual Directory in IIS, then you can access the page in a url like

http://localhost/MyAspFile.asp

You may find some information about ASP at http://msdn.microsoft.com/library/default.asp?url=/library/en-us/iisref60/htm/Asp_Tut_00.asp