I first tried with the IIS flag, but then after looking at some posts like this one I don't think that's supported or is broken.   So I follow that same blog post a little bit farther down and it says to do something like:

>E:\apps\NCover\ncover.console.exe E:\apps\nunit\nunit-console.exe MyTests.dll

I of course don't see any of the "flags" that the walkthrough talks about but I decide to give it a whirl.

I typed in this:

C:\Program Files\NCover>NCover.Console.exe "C:\Documents and Settings\wtilton\My
 Documents\Visual Studio 2005\Projects\Wtf\Wtf.Tests\bin\Debug" Wtf.Tests.dll

and got:

Command: C:\Documents and Settings\wtilton\My Documents\Visual Studio 2005\Proje
cts\Wtf\Wtf.Tests\bin\Debug
Command Args: "Wtf.Tests.dll"
Working Directory:
Assemblies:
Coverage Xml: Coverage.Xml
Coverage Log: Coverage.Log

Access is denied

Okie dokie then.  No idea what to do now.  Access denied to what?