Have you followed step 2?
"Create a virtual folder in this website that points to the folder Mendix\version_number\runtime\mxclientsystem (in our example: D:\CustomerPortal\Mendix\version_number\runtime\mxclientsystem). Give the virtual folder the same alias: mxclientsystem."
Have you added 'index.html' to the list of documents of the website? Right-click the website in IIS, choose Properties, navigate to tab page Documents, click Add.. to add the file 'index.html'. This configuration (only needed for IIS 6) is missing in the documentation.
quick and dirty workaround.
remove the virtual directory mxclientsystem, copy the mxclientsystem folder in de web folder. restart IIS