I forgot to write - I am in a Microsoft shop. They will not support .php. I have the use of IIS and SQL server.
If that's absolute, then I suggest you forget about WordPress entirely. It's written in PHP, and expects you to use MySQL. It also prefers Apache, although will work (badly) with IIS.
Also, using WordPress.com is not the same thing as running your own WordPress instance on your own server. WordPress.com is a blog system in much the same way as livejournal or blogger is. You host your blog on their servers, not yours. The WordPress.org package here is the code to run on your own server somewhere. The two are only vaguely related.