Tod's answer gave me something to look for.
The IIS 7.5 did not have ISAPI enabled so after doing that the proget site worked as a charm.
Definitely something that is missing in the documentation!
For further reference see below:
To enable ISAPI in the IIS look here: http://www.iis.net/configreference/system.webserver/security/isapicgirestriction
at the part
Setup
The <isapiCgiRestriction> collection is available only after you install the CGI or ISAPI Extensions modules on your IIS 7 server. You cannot install it independent of those features.
WINDOWS SERVER 2008 OR WINDOWS SERVER 2008 R2
On the taskbar, click Start, point to Administrative Tools, and then click Server Manager.
In the Server Manager hierarchy pane, expand Roles, and then click Web Server (IIS).
In the Web Server (IIS) pane, scroll to the Role Services section, and then click Add Role Services.
On the Select Role Services page of the Add Role Services Wizard, select CGI or ISAPI Extensions.
If the Add role services dialog appears, click Add Required Role Services. (This page appears only if you have not already installed any prerequisite role services on your server.)
On the Select Role Services page, click Next.
On the Confirm Installation Selections page, click Install.
On the Results page, click Close.
After doing that i restarted and did not have to any further setup. Loading the site just worked.
Inedo should make it much clearer in the documentation that this must be installed in the IIS for proget to work. Just setting the App Pool to Classic is not enough.
Thomas