I would recommend -
First installing IIS, you'll find tons of instruction on the net (you'll need a Windows installation CD)
Architect or Studio or Workshop all come the Development Servers including a limited version of WebSpeed.
In the installation process select an IIS compatible messenger and set the Root Dir to C:\Inetpub (IIS installation dir, by default) and Scripts Dir to C:\Inetpub\Scripts, if I remember correctly.
Most likely they're already set by default.
You'll also need to config WebSpeed and Messenger in the Progress Explorer.
You'll probably want to skip using a NameServer and have the Messenger connect to WebSpeed directly. Check off connect using NameServer and enter the WebSpeed Host and Port number.
Then you can start messing around with Embedded SpeedScript files and later on with CGI wrappers.
For a good tutorial and overview of the server components, if you're not getting along with the Progress docs (like me) I would recommend Scott Auge's Kick *** WebSpeed.
http://amduus.com/4glwiki/index.php?pagename=Kick *** Webspeed
Overall it shouldn't be too hard to setup and start playing around with, keep us posted and we'll try walking you through it.