There doesn't really need to be any 'setting up' of a web server. While I sort of lean towards 'doing it the hard way first' and learning to use CGI and setting up a web server, there are frameworks (e.g. previously mentioned Dancer) where you can skip the whole 'setting up a web server' step and just get to the 'writing the app' step. When you start your 'app' the web server also just 'starts'.