Want pretty permalinks in WordPress?  Who wouldn’t?

However, if you are hosting your WordPress blog on a Godaddy Windows server, you need to one extra step to make this happen:

Copy and paste the following into a text file, save as “web.config”, and upload to the root of your WordPress blog.  If you already have a web.config file, be careful to just copy  the <rewrite>…</rewrite> tags and everything between them then paste inbetween the <system.webserver>…</system.webserver> tags.

<?xml version="1.0"?>
<configuration>
   <system.webServer>
      <rewrite>
         <rules>
            <rule name="Main Rule" stopProcessing="true">
               <match url=".*" />
               <conditions logicalGrouping="MatchAll">
                 <add input="{REQUEST_FILENAME}" matchType="IsFile" negate="true" />
                 <add input="{REQUEST_FILENAME}" matchType="IsDirectory" negate="true" />
               </conditions>
               <action type="Rewrite" url="index.php" />
            </rule>
         </rules>
      </rewrite>
   </system.webServer>
</configuration>

See the original info here: http://learn.iis.net/page.aspx/466/enabling-pretty-permalinks-in-wordpress/