As Roman stated, IIS must be installed, running AND you must have a website setup/configured AND running in order for the list to show anything. If one of these items is missing it will not show. Also, if you add the site AFTER you have opened KIM, it will not show in the list, you need to close KIM and re-open it.
Another option is you can skip that option and use the Prepare for installation on another server option and install in the directory of your choice. Then you'd need to register the site in IIS. Then you'd need to go back to the KIM and register the Kentico installation.