I followed these instructions and had pretty good luck:
The downside, though, was that WordPress's automatic upgrades, plugin installations and theme installations never seemed to work right. The latest versions (2.7 and 2.8) of WordPress can do this stuff over FTP, but you'll need to set up an FTP server too.
Another caveat is the caching plugins, which seemed to be very hit-or-miss (mostly miss) with Windows hosting. If you rely on WP Super Cache to handle load, then really test it well with several different browsers. My IE users complained that the site was sending them zip files when they clicked on links, and that the gzip compression was just not easy to configure correctly. It seemed to work okay without WP Super Cache, but as soon as I got caching involved, everything went downhill.
I ended up switching back to a Linux host, for what it's worth.