Hi,
I have the same problem and wordpress was installed using the ms web installer
Due to this problem we have installed on 4 different servers. 3 came up just fine however our public web server won’t work.
The problem on IIS is exactly as jayrwilder describes except the logon/admin error is slightly different
[19-Apr-2010 18:55:01] PHP Warning: require_once(wp-load.php) [<a href='function.require-once'>function.require-once</a>]: failed to open stream: No such file or directory in D:\Domains\achiever.co.uk\www\wordpress\wp-admin\admin.php on line 20
[19-Apr-2010 18:55:01] PHP Fatal error: require_once() [<a href='function.require'>function.require</a>]: Failed opening required 'wp-load.php' (include_path='.;C:\php5\pear') in D:\Domains\achiever.co.uk\www\wordpress\wp-admin\admin.php on line 20
I must also add that installing php has also been more difficult on this server. In the end we are using fast-cgi and have had to configure IIS manaully for php/cgi. The server does not have a default website and handles multiple domains.
Is this a permissions problem? If so what needs to change?