We use LDAP for the students and staff but I set the administrator accounts to be a local login, controlled from the database. That way if the ldap authentication fails for whatever reason I can still login as an admin to try and sort out why it failed and get it working again. Not that it matters anymore as the school are scrapping it!
As to how you change it to a local login:
If you look at the database table mdl_user (I'm using MySQL so I have to use MySQL workbench you'll use whatever you need to) you'll see the auth field lists the authentication method to be used against a user, most will be ldap of course, but if you change that to manual and put an md5 encoded password in the password field then the user is locally controlled.
Whether this would rid you of the IIS login screen I don't know, our Moodle uses ldap and I've never had an IIS login screen mainly because internally it's an apache webserver; IIS is used for our secure external facing site but even then I've only gotten the login screen from Moodle.
Hope this is of some help to you.