The windows performance tool, perfmon, is probably not going to tell you a lot about where your bottlenecks are, but it can help you determine the impact of the load you are putting on the system and if run long enough, is likely to tell you if you have resource leaks.
My baseline items:
All Process items for the process
Processor
Memory
For sampling period, I tend to target 100-200 samples for the length of the expected run.
The next set of questions will be very specific to your application to determine what you need:
.Net and ASP objects if they apply
Network objects if you suspect problems on the network interface
Disk IO if you suspect or want to investigate impact how much disk activity is going on at different loads.
As important as collecting the data is the time to review. For first time views, it's worth taking an hour or two just to bring up each counter and notice the trends. Once you've become more experienced with the counters you can focus in on specific items. Things I tend to always review for leaks:
handle counts, threads, private memory, free system page table entries, data base connection counts if you can get them.
Don't forget to look at the whole system and not just your web server. Application issues can show up on any of the linked (directly or indirectly) resources. Just because something else fails or is slow doesn't mean it wasn't caused by your application.