This article on ASPCode.net describes how to download and install PostgreSQL on a Windows box.
You will then (for usage from ASO.NET) of course need some sort of ADO.NET driver. There are free drivers available (both for .NET 1.1 and 2.0) at pgfoundry.
A simple ASP.NET application against Postgresql is found on this ASPCode.net article on First ASP.NET application against Postgresql
