When you run a web project from Visual Studio, you are typically running it via Cassini2. That is a downloadable project as well.
Otherwise, if you want something smaller, you can look at Indy 10 library (open source), which is a complete set of networking apis. You could probably write your own web server fairly quickly with that.
Or, NSoftware also has some networking apis. They are commercial, but well documented, and I've had good luck with their support (but it has been a while for that).