MSDN article concerning the subject says:
From the installation DVD for Visual Studio Team Foundation Server, start either the 32-bit or the 64-bit installation wizard
On the Welcome page, click Next.
On the License Terms page, read the terms of the license. Click I have read and accept the license terms, and then click Next.
Click Team Foundation Server Proxy, and click Install.
But I have nothing like
Team Foundation Server Proxy item: