The easiest way to get Mono up and running on a Windows box is via the Mono Windows Integration project. The single installer gives you the Mono framework plus an ASP.NET testing web server (XSP), and GTK#, plus some demos. It’s from Paco Martinez, who is working on several projects for Novel, all of which focus on bringing Mono to that platform.
I got it all up and running on my dev box, but haven’t had time to play with much yet. Still, it looks really good, so far, is dead simple to use. And it’s one simple way to do some ASP.NET development on WinXP Home (which, unlike WinXP Pro, can’t run IIS. Besides, why would you want to run IIS?).