A few people have got it to work on IIS, but they did pay for that module, and then had to tweak a lot from there.
What you need is Apache, not IIS. If your host can't provide that, and you don't want to go the route of a) hassling with IIS, and b) paying for more software isn't a viable option, then getting a host that natively supports the requirements for MU would be best. Since it seems that your site would be closed (or limited) in the number of blogs, you could probably use Media Temple's Grid Server package without issue.
Anyway, Apache natively handles url rewrites (mod_rewrite), which MU needs to run. Without rewrite capabilities, MU can't function.
There are a few other alternatives to Apache (LightSpeed, for example), but that's a whole different can of worms.