Is IIS installed on this machine? Did you follow the IIS installation requirements here:
You also need to run as an administrator - you should be prompted to elevate if you're not if you're running Setup.exe.
Also while you're at it, you might want to install 6.65 which is the latest version and includes some additional checks and notifications when configuring for Windows 7/8 including running without IIS altogether (using IISExpress). See documentation for more details.
+++ Rick ---