When you ran the installer, did you choose to install the web server connectors to IIS? It sounds like either you didn't or it didn't complete properly. You can re-run the Web Server Connector Tool from the ColdFusion program group on the Start menu (make sure to "Run As Administrator"). If the connector was at least partially installed, you will see IIS listed under Configured Web Servers. If it's there already, remove it and close and restart the Web Server Connector Tool. Then click Add... and connect IIS. You can either connect all IIS websites, or each one individually.
-Carl V.