In IIS, why doesn't Window Authentication show up as one of the options for my web application?
I got hit by this and it was something as simple as having not started IIS Manager with 'run as administrator'. Very frustrating, but I got there in the end!
I stumbled upon this, but couldn’t find Security feature under “Turn Windows feature on or off”. In Windows Server 2008 R2, this is located under Server Manager -> Roles -> Web Server (IIS) -> Add Role Services. May be it helps someone.
According to the comments above, you will need to Restart IIS.