In IIS6, it was with the website properties --> HTTP Headers. Here in IIS7, you can do this on the "HTTP Response Headers" feature on the website.

• Select the website in the Connections pane.
• Double click on the "HTTP Response Headers" feature in the features pane
• In the action pane, click on the "Set Common Headers..."

• You will see the following popup

Now, you know what to select. You should enable the HTTP Keep-Alive on this popup only.

Happy Learning IIS7!