Microsft Personal Web Server (PWS) allows your computer to act as a webserver, much the same as any other webserver on the internet.  As a matter of fact, if you are connected to the internet while PWS is running, and you know the IP address for your computer, others can go to your website.

For Windows 95 and 98, the setup file is on the CD-ROM.  Insert the CD in your drive, then browse for and run x:\add-ons\pws\setup.exe, where x represents the drive letter for your CD-ROM.  Follow the installation instructions, accepting the default values.

For Windows 2000, installation occurs via the Control Panel:

Open Control Panel
Double-click on "Add/Remove Programs"
Click on the "Add/Remove Windows Components"
Checkmark the box next to "Internet Information Services (IIS)"
Click on "Next"
Follow remaining instructions to complete the installation
You will be prompted for your Windows setup disk

For Windows ME, PWS is not supported or included.  You may attempt to install PWS on your machine if you choose, either using a Win98 setup disk or by downloading PWS from Microsoft:

Go to the Windows NT 4.0 Option Pack dowload page
Click on "Option 1"
Select "Windows NT 4.0 Option Pack Dowload Wizard for Windows 95"
Click on "Next"
Click on any one of the links for "download.exe"
Choose to either "Run From Server" or "Save to Disk".  If you save to disk, you will have to manually run the download program yourself.
When the download program runs, check the options carefully and select only to download the PWS components.