If you are attempting to go to index.php by addressing the root of a folder (i.e.
http://localhost/) and you are getting a 404, then you may need to add
index.php to the list of default documents.
If you are getting a 404 error trying to access a specific page (i.e.
http://localhost/index.php), then there may be an issue with how you are attempting to access the page - not necessarily a problem with the php config in IIS.
If I remember correctly, when php is not configured correctly, you would get a mime-type error which may attempt to save a copy of the page, but not a
file not found error.
Also, in IIS6, FastCGI needs to be installed (download it here) and enabled through the "add Windows components" tool.