You must have Windows XP Professional to run IIS. It does not come with XP Home. You can not download IIS, it only comes on the operating system install disk. It sounds like you installed the IIS 6 admin tool for XP, which can be used to manage remote IIS 6 servers.
If you want to study building dynamic web sites, get yourself a copy of Visual Web Developer Express (it's free) http://msdn.microsoft.com/vstudio/express/vwd/ which includes a development web server that will run on XP Home (it's only for testing and debugging your code though).
If you still want IIS, you'll need to upgrade to XP Pro, Windows Server 2003, or a version of Vista that includes IIS.
http://msmvps.com/blogs/bernard/archive/2006/06/02/98661.aspx