I have been fortunate (?) to run WordPress on IIS for a long time.
You will need to edit your web.config. The web.config is the IIS equivilant of an apache .htaccess file.
Specifically, you need to have the following:
Let me know off line if you need help in configuring this, I don’t know how to post XML code here without it being stripped
I have been running this for years. Let me know if you need any help editing the web.config
I uploaded two samples:
HTTP passthrough for 404.php to display –http://wpdev.kcristiano.com/wp-content/uploads/2011/09/webconfighttppassthrough.txt
Full web config (with pretty permalinks) http://wpdev.kcristiano.com/wp-content/uploads/2011/09/webconfigfull.txt