I have quite a few sites up using WordPress on both IIS and linux and have issues with the speed that IIS seems to be rendering the pages so I have tried a few things that have improved the caching of the web pages as there is quite a bit of processing of the php and Mysql to be done to sort out the categories and plugins needed for word press to work.
The first thing you can do to your blog is to install wp-super-cache this will double the speed of your site because it pre renders the HTML on your word-press blog, so IT serves up static HTML before the fancy stuff.
You can also use IIS to alter the way that IIS serves up the pages this is similar to the plugin mentioned earlier this is the way to output cache in IIS.
With this configuration IIS will cache the response generated by WordPress in memory for 30 seconds, thus avoiding heavy script processing and database I/O for all subsequent requests. This would increase the throughput significantly – for example on my Virtual PC the WordPress throughput grew from 10 requests per seconds to more than 2500 requests per seconds after enabling Output Caching.
Although this method may disable some of the functionality in word press like adding comments as the pugin solution will serve only static pages to those word-press users that are not logged in.
So personally I would go with the word-press plugin because of the added functionality although is quite easy to alter the caching in IIS.