If you use windows 2008 and IIS7 you can then use the web platform installer - Just tick a box and it will install Joomla, PHP and MYsql for you.
I've found in the past that Drupal on IIS is very picky about permissions, you might find you need to add servername\iusr permissions. Also if using IIS6 don't use the php.exe installer, use the manual install as it's easier in the long run.
On Windows 2003 you could try Xammp which makes the wamp stack easy to install - although possibly not the most secure.
The other possibility is to run up an ubuntu linux server, possibly on a vmware server install, the lamp stack is dead easy to install