The setup uses two batch files: setupvroot.bat and setupCertTool.bat. The first batch file creates an IIS application directory in inetput\wwwroot. Many of the examples are hosted in IIS and all of them use this one application with a little switcheroo magic.
To do this the batch file needs to run a script that was provided by IIS6, but is not supplied with IIS7 (part of Win8) so you will need to select IIS6 compatability as shown.
Note:
In order to run any WCF code in visual Studio you will have to run the IDE as Administrator. Otherwise they will abort due to an
authorization failure (with an ugly unhandled exception). Microsoft assumes that no one but an Administrator should be running
services.
I've found that virtually all of the security related demos fail. I haven't had the time to figure out why, but expect that is a consequence of changes in .Net security policies since the examples where created (in 2010).