Not hard. You need a web server that can do PHP, and a MySQL database server. (They can be on the same host.) Once you have that, you can just download WordPress, unpack it where you want it, edit a configuration file, and hit a URL on the server that finishes the installation.
PHP and MySQL are available for Windows, too, which allows you to use WordPress on Microsoft IIS if you want. (Or Apache for Windows, if you prefer.)
Here is the WordPress 5-minute install.
]]>