How do I run a Mercurial server?

The PublishingRepositories wiki page gives a great overview of all the different ways you can exchange changesets with people. They range from simple shared files space, to ssh, to the build in hg serve, to the hgweb/hgwebdir cgi scripts that came with your mercurial installation. You need to pick the best mechanism for you, but the hg.yourdomain.com mechanism you describe most closely aligns with the hgwebdir in Apache solution which is fully detailed on the wiki.

for Mercurial server on Windows, you can get a very good tutorial here: http://www.jeremyskinner.co.uk/mercurial-on-iis7/ or here: http://blog.schuager.com/2010/03/how-to-setup-mercurial-server-on.html

It's pretty easy to set up and works like a charm.