FTP SITES within IIS have that feature, but not WEB SITES. HTTP connections are after all very short lived. A web browser connects to the web-server, requests a document, retrieves the data, and disconnects. FTP sessions on the other hand are much longer lasting connections.
To view who's connected to your IIS server via FTP, open up the IIS Management Console. Right click on one of your FTP sites (assuming you have at least one FTP site defined), then click the "Current Sessions" button towards the bottom right-hand side of the window.