Thomas,
I am running PHP4 on a W2K Pro Box which is essentially IIS 5.0 without some features. I am actively using both ASP AND PHP for the same reasons as you. I don't know what the threads refer to when they say packages of PHP. I installed the PHP Win32 binaries from php.net (don't ask me which distribution, I couldn't tell you) following the readme that was part of the php.net distribution as well as the thorough PHP4 Document, page 64 is IIS4/NT. The modules are part of the distrubution I downloaded. I opted not to install the ISAPI module as it is still in beta and used PHP in cgi mode.
I then installed the Win32 beta of mySQL for my database to develop on (this was the same setup as my target system,except it was Linux).
I have had no problems to speak of or at least they weren't significant enough to notice and did have to do a couple of minor tweaks on the php.ini, I can't remember which.
I'm not sure if this helps as your running 4.0 Server and I'm W2K Pro. But I thought I give you encouragment and let you know others are doing ASP and PHP side-by-side.
H