IIS is a Windows server, and according to the Windows FTP listing format, it doesn't supply permissions information nor does it support setting of permissions.
To confirm, if you take a look at the Transcript View (select Show Transcript from the View menu) you'll see the directory listing data with no permission information.
What you could try is changing the Server Type in your Bookmark from Windows to UNIX and then connect. It may emulate a UNIX server with the listing then, although I can't guarantee that permissions setting will be supported.
