Yeah, you are defintely going to need IIS. I haven't even really looked into if .Net framework for ASP.NET supports other web servers. It can be installed on WinXP Professional.
It is really simple to go install IIS, simply go into Control, Add/Remove Programs and go to the Add/Remove Windows components, and you should be able to install it there, it is labeled Internet Information Server.
There are a lot of good examples, on MSDN and
http://samples.gotdotnet.com ,
you can also check out
http://www.c-sharpcorner.com . I think that site has a lot of good examples.
I installed the Duwamish C# example application and it is a great example of all of the components. It is a sample that comes w/ Visual Studio .NET, look in the sample or examples folders.
Hope that helps,
Morgan