When you install Exchange, there are lots of prerequisites and you need to follow a very specific procedure. Exchange is a complex application. :)
W3SVC is definitely part of the IIS role, but instead of just trying to tackle each error message one at a time, why not start off on the right foot.
Taken from Technet, here are the prerequisites for installing Exchange 2010 on Windows 2008 R2: http://technet.microsoft.com/en-us/library/bb691354.aspx#WS08R2 (Expand the section on 2008 R2.) Notice that there are various .NET frameworks and such that need to be installed first as well, and a lot of other IIS role services besides just the ones needed for RSAT.
Now once you have all those prereqs sorted out, try following the rest of this walkthrough here:
Hope this helps!