A few more steps, including (perhaps?) getting the IIS server to send out e-mail as you’d expect WP to do from time to time.
And here’s a piece of software that claims to do the trick, up to date as of WP 2.2, which bodes well.
Note to self: Add this to the list of things to try in order to get WP running on an IIS server.
This isn’t the issue I’ve been having, but it could be a clue, FWIW.