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!