A lot has changed in the IIS7 UI from IIS6, sometimes it can be hard to find out where to set certain things such as the execute permission for CGI's and ISAPI's. Yesterday, I was trying to get a CGI to execute, but couldn't find where to set it.
In IIS7, you'll need to go to the Handler Mappings UI module, then click on "Edit Feature Permissions..." and then select Execute.
Hope that helps. :)