Also make absolutely sure that the IIS Metabase compatibility is installed. Without that nothing will work, but you also should see errors. In fact, even if you are not running as a true Administrator you should see errors.
Ping me on Skype - if this really doesn't work I'd like to take a look and see why it doesn't if possible.
I'm intimately acquainted with the process for getting a Web Server up and running Web Connection. However, my normal process is riddled with manually massaged nuances. Recently I was trying to write up some internal documentation for starting with "bare metal" and getting our ecommerce site up and running _on a deployment server_ which naturally involves installing and configuring Web Connection. I was trying to do it by the book as much as possible as to make it as repeatable as possible. Rick's done an amazing job with documentation so I was trying to leverage that as much as possible. So now, to the point.
I tried to use the CONSOLE.EXE to configure the server and it didn't seem to configure the server.
Now let me qualify a bit. This is NOT a development box, this is a production server. I had installed Visual Foxpro and Web Connection 5.66 as well as configuring the very basics of a website in IIS. This is a Windows Server 2012 installation and I selected the options of using the HTTP Handler and installing to the root (not creating a virtual). The process did seem to handle some of the permissions setup and DCOM settings but when I looked in the root of the website there was nothing. No web.config file, no WebConnectionModule.dll, nothing. In fact, I was about to go copy over WebConnectionModule.dll and manually make the web.config to see if that's all that was left and I can't find WebConnectionModule.dll.
Maybe my copy of 5.66 is messed up?