You don't mention anything on what OS, Progress or OpenEdge versions you are running and what type of WebServer you want to use ...
Anyway:
The AIA is a java servlet - so you need a JSE (java servlet engine) which hosts the AIA. One recommendation for the JSE would be Tomcat - because it's open source and has proven to me that it works without a fuzz.
The WebSpeed Messenger is either cgi or a .dll that is loaded directly (wsisa.dll on the IIS) or directly called by (cgi on Apache) the WebServer.
Tomcat is also a web server but it is subject to discussion whether it should be used as a web server in a production environment or not. There are a lot of different opinions.
Most people integrate Tomcat into the IIS or Apache web server (to be correct, tell the WebServer to redericte request that match a specific URL to the JSE). This integration is straight forward for both (IIS and Apache) WebServers.
Bottom line: You can run everything on one machine without a fuzz if you set it up all correctly.
But, I have to admit, last time I have done the AIA or WSA (Web Sercice Adapter) integration is two years ago ...
HTH, RealHeavyDude.