Windows XP Home is a version of Windows targeted at home users, so it doesn't have some of the server features (like IIS) present in other versions of Windows.
If you're using XP Home as a development OS, you might want to check our the "Express" versions of Visual Studio. Visual Web Developer Express comes with a self-contained web server suitable for hosting web applications during development. And SQL Server Express 2005 allows file-backed databases that don't require a full SQL Server installation.
You can find more information about Visual Studio here.
-steve
