It appears I was a little quick to talk about how easy it was to install this on a Windows server. 3 hours later!
WordPress was really written to take advantage of all the benefits of Apache. It uses a feature of Apache called mod_rewrite to make urls like this “site.com/index.php?year=2004&monthnum=07&day=07” look like this “site.com/archives/2004/07/07/”. This is incredibly helpful with the search engines as they often don’t read URLs that have ?’s in them.
While you can use WordPress without this feature enabled, I feel it is extremely important. I was on the verge of uninstalling it when I finally found this article that solved my problems.
The problem was that Windows web server, IIS, doesn’t have an equivalent feature to mod_rewrite. In short, the solution suggested installing an add on to IIS called ISAPI_Rewrite . You can download the lite (freeware) version of it from here.
Rather than quote everything that I did, this article explains it very well.