IIS or ASP?
Before the IIS Application template was introduced to Visual Basic, developers wanting to produce Web applications had Active Server Pages (ASP) technology available to them. The ASP model allowed developers to write pages that could be accessed from a browser and that performed some processing on the Web server before returning HTML to the browser. The server-side code could be written in a variety of languages (including client-side scripting languages, such as VBScript or Microsoft JScript), so long as the server had access to a scripting engine for that language. ASP provides a number of different objects for server scripts that allow interaction with both the client and the server.
IIS applications, while based on ASP, provide a better way for Visual Basic developers to produce Web-based applications. For example, the development environment is familiar (though there are differences for IIS application development, as you'll see). The language is the same, so you don't have to learn a new scripting language. The processing code and visual interface code can be separated out to provide a cleaner project-ASP pages have script and interface code intermingled. Visual Basic is also a much more powerful language in which to develop applications than is a scripting language (even if the scripting language can call on code components to perform any tricky processing).
At the time of this writing (on the March beta of Visual Studio 6), there is some MSDN documentation on developing IIS applications but no example code (apart from the fragments appearing in the documentation). So, while I'm not flying completely blind on this one, let's say there're some low clouds and all I have are the instruments to guide me (plus a sick bag and spare underwear!).