Well as I figured it out it was not a complicated thing, but there are some specifics of course:
By default IIS7 is included in the distribution (I use the Enterprise edition of Windows Vista), but is not installed by default. To do so open ControlPanel > Programs and Features.
On the right side of the window click the "Turn Windows features on or off" link and a dialog will open:
Installing required features
You can select and check the Internet Information Services feature. By default not everything required gets selected. You have to check also the Internet Information Services>World Wide Web Services>Security> Windows Authentication and Internet Information Services>World Wide Web Services>Application Development Features> ASP.NET
This is pretty much all that you have to do to be able to run an asp.net site for example. Enjoy!