Totally agree, packaged all-in-one lazy software should be avoided at all cost.
What if you decide one day to upgrade your PHP version, but the crap all-in-one pack is not available?
Just read and learn, don't be lazy. Installing PHP, MySQL and IIS (for example) should take you not less then 20min, once you know what you are doing... especially that Google has one milllion sites out there who can guide how to install everything step by step.

Personally, I use Windows only to connect (through network) to my Unix machine, where I have set everything on CentOS. I find that this is the best setup, you breath a Linux environment through Samba, connected to your Windows box. In other words, you can work either in Windows or Linux, the way you like it, with the same web results.

Having this setup made me gain a lot of knowledge on Linux, I strongly recommend you to start looking into it also. Unless you are rich, this will save you a ton of money on dedicated server support and colocation.
Using vBulletin into a shared host environment will last you few weeks/months, until your little underpowered shared resources will be exhausted in seconds.