I have a work laptop that was purchased new, but it came without the CD. It has XP Pro, but it did not come with IIS installed. This looked to be a good approach:
http://ezinearticles.com/?Guide---How-To-Install-IIS-on-Windows-XP-SP2-Without-CD&id=416853
However, I wanted to check here to see if there were alternative solutions that anyone could recommend, and to check if any of the free .NET developer tools possibly come with IIS as a bundled package.