cannot install iis on xp pro sp2

Hi,
When trying to install iis from windows components I get asked to insert my
xp pro cd fro the file 'admxprox.dll' I do this, but the file is not found.
The file is not on this cd or the sp2 cd. The installation fails.

After the frist time trying inetpub and wwwroot folders where created,
however if I try and run a plain html file using the path:

http://localhost/foldername/filename.html

I get a page cannot be displayed error, even though the file is in
intepub/wwwroot/foldername/

I've got .net 2.0 installed.

Any advise on this and how to get iis runnning much appreciated.