Considering how I wanted to approach my SharePoint exploration, I had to install Microsoft Virtual Server on my machine. That way I would be able to emulate a true intranet environment, in which I would have a domain controller, and other required resources.
Another reason I had in mind was that, I could save images of these machines at different stages, and then can experiment with different configurations, saving some of my time to redo all those installation again.
I am using Microsoft Virtual Server 2005 R2 SP1, which is the latest at the moment. I have Windows XP Professional with Service Pack 3 installed on my physical machine, with a lot of RAM, and disk space. One more thing I must check, do I have installed IIS (Internet Information Services), yes I do. I have IIS 5.x with me, and it should be there, because Virtual Server presents web interface for its administration.
After downloading I started the installation, instantly getting the popup screen.
There was not much to customize, we must have Virtual Server Service, as this is the sole machine, so I must install other items too, like Virtual Machine Remote Control Client, VHD Mount, and Virtual Server Web Application.
You can download Microsoft Virtual Server from here.