If you want to use a domain name, i suggest that you get Bind 9 setup (free and easy to download), its for both windows and linux.
I setup a linux server with my domain and webserver, ssh, ftp email etc once, worked great. Linux is quite easy to install if you know how to do it, thats the problem. RedHat is simular to a windows install though and quite simple, its only the partitions that can be tricky. A tip is to get a virtual computer program to simulate linux (works exactly like a dedicated box, but it can be a bit slower, or alot as it shares its memory with windows), only difference is that it has its own virtual bios and virtual drives. And if it crashes or not get it to work, you just delete the virtual drive, create a new and install it once again. And do it till you find out how to do it correctly. Also many commands are simmular to DOS commands.
I've also setup bind 9 on my windows xp box and can give you the config files if you want to see how its done. Its best run on NT based system (such as NT and XP).
I've also made a file sharing network with webserver and ssh with mixed linux and wondows boxes. If you need help just ask, i will do my best to help you. I do suggest to get apserve or easyphp or something simular before you try to intall it separatly (It's fun to do a real install of it, bit tricky at first but its awsome when you figure it out
and i suggest you do it when you get some experience from appserv easyphp etc, thats how i started, didnt take long till i trashd it and saw the green grass on the other side of the hill though hehe)