You add the Filter in the ISAPI Filters tab of the Properties Dialog:
The filter needs to be located in a directory where IIS has execute permissions. To achieve this, you can either copy the filter DLL to a location where IIS already has execute permissions, or you can setup directory permissions for the location of your DLL. Below is an example of copying the Filter DLL into \WINNT\system32\inetsrv directory.
Pick the DLL and click OK:
You can use any representative name for the Filter Name field that IIS asks:
After you click ok to close the dialogs, if you click to view web site properties again, you will see a green arrow next to your filter showing that it is up and running. A down red arrow would mean something went wrong and it was not loaded. To troubleshoot such problem, you can lookin the log file. You choose the log file location in Filter Admin Console. Remember that such log file location must have write permissions for the IIS process.
Note that if you remove a filter from IIS, the DLL remains loaded in memort and IIS keeps a lock on the DLL file until you re-start IIS. Therefore, if you wish to replace a DLL with a new version, you first need to remove it, then restart IIS, and then copy the new DLL to replace the old one, and only after that you can add the new filter to IIS again.