I have successfully installed the latest WP on my Windows IIS7 hosting account at GoDaddy.
However, I had to set the security for the wp-config file as read/write and it can be viewed via browser rather easily. If I change the file to write only, WP can't open it. So I'm not sure what to do to secure this file.
Also, is it possible to import all of my blogs from my WordPress.com account to my new self-hosted blog?