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Is it possible to host Wordpress on a Linux install and on a subdirectory of a domain ((domain.com/blog) when the web domain is on windows? How complicated/time consuming will this take?
It could either be one of the servers you will have anyway, or a separate one.
I have not done this myself, but it looks to me that Apache with mod_proxy or a number of other web servers (e.g. nginx, Lighttpd) could both run Wordpress and forward requests not for the Wordpress directory to your windows server.
If you want easy set up you might try Cherokee: there are step by step instructions for setting up Wordpress and a nice web admin interface.
Is that kind of like xamp?
No. Its just a web server. You will need to install php-fcgi and mysql separately (usually pretty trivial on Linux) and configure cherokee to use php (the docs on the cherokee site are clear).
I think so. I use Cherookee only as an easy to reconfigure development server (although that might change soon).
BTW, with Cherokee, will I able to run my windows app on the main domain and use cherokee to run wordpress on a sub directory?
As far as I can see from the docs, you can. You should be able to add a regular expression rule with an http reverse proxy handler that will forward anything not for the Wordpress subdirectory to the server running IIS.
It should be fairly straightforward, but please let me know how it works.