Oh boy... okay, I assumed you'd already be familiar with dev-unlock at least, so this is going to be a bit complicated. First of all, what phone do you have? On some phones, you won't even be able to run the app because of restrictions that we don't know how to get past.
The summary:
To install an app to the phone from a XAP file, your phone needs to be developer-unlocked. There are a few ways to do this, including an official one from Microsoft (though that costs money unless you're a student). To deploy the apps, you'll probably want to download the Windows Phone SDK from Microsoft as it has all the tools.
To use high-privilege apps, you'll need your phone to be "interop-unlocked" which you can read about on XDA-Devs. Not all phones can currently be interop-unlocked, though many can.
Once your phone is IUed, install the webserver and also WP7 Root Tools v0.9. Use the Root Tools to mark the Webserver app as "Trusted"; this will give it the permissions it needs (it has its own permission elevation code, but I'm almost sure your phone isn't compatible).
if your phone is unlocked:
install wmdc by ultrashot, then, connect it to wmdc, then browse <YOUR WP NAME>\\Applications\Data\218A0EBB-1585-4C7E-A9EC-054CF4569A79 then copy everything from it
Thanks a lot for your help, and I'm sorry you had to write this much. I already know how to deploy .xap's and these things, but I have no clue when it comes to the Webserver and how to find the conversations with that. I'll try this for now. I appreciate your help and effort.
Is this the same method as the one GoodDayToDie explained?
Thanks for your answer!
//Edit:
I tried it like you, GoodDayToDie, told me. I downloaded your HtcRootWebServer_231.xap and HtcRootWebServer_231.zip. (even though I have a Samsung Omnia 7 with windowbreak unlock (I think that's interop unlock, don't know for sure though)). Then I deployed the .xap, opened the App in the phone but didn't know what to do with the numbers and text fields (like what kind of Admin name and password I should fill in...). After I gave up on the phone-part, I tried to work with the .zip file, but I don't know what to do next. There are 2 folders, one is called "Homebrew" the other "WebServer", I tried to open the programs which are placed in the subfolders (I opened both with Microsoft Visual Studio Solution) but I only get an error and it won't show anything.
Do you know where the problem is? (aside from my lack of knowledge of course :/ )
Thanks for your help.