IIS Express is a lightweight, self-contained version of IIS optimized for developers.
It is installed when you install Visual Studio 2010 SP1 or you can install separately using Web Platform Installer.
Convert your application for using IIS Express is very simple.
You can right clicking on the project and select "Use IIS Express"

You can also access to this feature from Project Properties. Right click on the project, select "Properties" and then switch to tab "Web". Select "Use Local IIS Web server" and check "Use IIS Express".

If you want to use IIS Express in all new project, you go to Tools -> Options -> Projects and Solutions -> Web Projects and select "Use IIS Express for new file based web sites and projects".
The new projects will use IIS Express by default.
