IIS 5.0

It depends, do you just want to have a standard web site?
Just place your homepage as what ever is listed as the default document in the advanced settings in pwstray.exe and place that file in the home directory (default is C:\inetpub\wwwroot). The password protection on web sites that have the box that pops up and has you enter the information is vulnerable to people running utilities that just keep guessing from along list of names, common passwords, randoms, etc. (Yes I like to keep up onwhat hackers can do to my system, that doesn't mean that I try them)

If you want to use something more than html or asp, then programs like php have a nice install and is easy to implement.

First I take it you have your web site layed out on paper already, and you know what your goal is, and what you have on your web site that makes it unique so that people will want to come to your site, etc.

I just briefly touched on some of the aspects of how to setup a web site, feel free to ask for further more specific information on web sites.