Hi,
I am not sure what you are doing, but I am guessing you login with Remote Desktop and configure using IIS Manager.
If that is true, I think you need to read-up on the platform-as-a-service (PaaS) offerings, and how this differs from Infrastructure As a Service (IaaS).
What you describe is how an IaaS platform behaves, but PaaS behaves different.
The typical way to install "something" in the PaaS platform is (generally) to deploy a package from Visual Studio containg your web-application and optionally startup-scripts that modifies IIS (or other Windows settings)
I would recomend that you watch these videos:
http://channel9.msdn.com/Events/BUILD/BUILD2011/SAC-852F
http://channel9.msdn.com/Events/BUILD/BUILD2011/SAC-853T
Actually, all videos from BUILD regarding Azure is interresting:
http://channel9.msdn.com/Events/BUILD/BUILD2011?sort=sequential&direction=desc&term=&t=windows%2Bazure
If you REALLY want to configure IIS manually before deploying your app, you can do that using a VM role which you configure locally and then upload to Windows Azure, but I wouldn't really recomend it.
Regards, and good luck.
// Ronny