What operating system are you on? All (or at least most) versions of Windows come with webhosting software. in 98/ME this is PWS (personal webserver) and in 2000/nt/xp this is IIS (internet information services). PWS should be on the windows CD. IIS is built in. you can access it from the control panel (in subcategory 'Administrative tools')
"Say you're hanging from a huge cliff at the top of mt. everest and a guy comes along and says he'll save you, and proceeds to throw religious pamphlets at you while simultaniously giving a sermon." - Dustin G
I would definately recommend using IIS if that is available to you. If not, you can download apache for free from www.apache.org -- but IIS first and formost.
You need to enable it before you can access it through Administrative Tools, as Kris said. To do this click Start -> Control Panel -> Add or Remove Programs -> Add/Remove Windows Components -> Internet Information Services (IIS)
"Now I guess we're... 'Path-E-Tech Management'" -Dilbert