If you have windows xp pro edition all you have to do is install "IIS". Control Panel -> Add/remove programs -> windows components -> Internet Information Services.
After that installs go to "Administrative tools" in control panel, and setup up your home directory, port, ip for your site(most isps block port 80 so try a different one). On your C:/ drive there will be a new folder created called "Inetpub", and in that folder is called "wwwroot" that is where you will place your website pages (html, asp etc..)
To run your site open a browser and type "http://localhost/yourhtmlname.html to run it.