This is because there is a bug where the Connect install has a issue reading the framework version. So in order to fix this you have to edit the registry. In order to do this open regedit and navigate to:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\InetStp
Once there edit the "MajorVersion" entry, and set the "DECIMAL" value to 9 and then reboot the server. Now you can go back and install the Connect software and you should be good to go.
