One thing is you must be a local administrator user to successfully install IIS. Other than that I've never had problems installing on XP Pro. Maybe try turning off your firewall while you install.
IIS doesn't create any start menu items, it runs as a service. If you look in the control panel for administrative tools you should find an Internet Information Service icon. Take a look around in this MMC.
If IIS installed properly, you should be able to open a web browser on the same computer to http://localhost and get the IIS online documentation.
For PHP and IIS I used the manual PHP installation, not the PHP installer.
If you don't need IIS it might be easier for you to use a bundled package like xampp which installs apache/php/mysql in one step.