.asp stuff requires to be on particular directories with particular permissions when you're running/testing it from your PC.
That's true for cgi as well. It's just a matter of configuring the necessary directories and permissions on your local computer. I do it all the time. Anything you can do on a production server you can do on your own computer with either Apache or IIS and any necessary supporting software.
I have both Apache and IIS set up as fully functioning web servers in Vista on my iMac to use for testing, but I could just as easily put them online. It doesn't really matter whether you actually have it running on the Internet (which you wouldn't want to do with your personal computer). It's just a matter of having the necessary software and having it configured correctly and you have a test system that is exactly the same as a production server.