Assuming IIS 6

Go to IIS, Right click on your web site (i.e. Default Web Site).  Click
Advanced under the Web Site tab.  Click Add under multiple identities for
this web site.  Type in your port and host header (i.e. www.bakshi.com).  Hit
Ok Ok Ok and you should be good.

Now the domain is going to have to point to your IP address in the DNS
Servers or in your hosts file.

After all is said and done you will be able to use http://www.bakshi.com/web 
(this is if you keep the default port 80 when typing in port 80).

Not sure if I'm explaing this well, Googling for host headers for IIS will
probably turn up some more references