That's not true Jeff.
You simply have to select a folder within your IIS 7 Manager UI (e.g. Images or event the Default Web Application folder) and then click on "HTTP Response Headers". Then you have to click on "Set Common Header.." in the right pane and select the "Expire Web content". There you can easily configure a max-age of 24 hours by choosing "After:", entering "24" in the Textbox and choose "Hours" in the combobox.
Your first paragraph regarding the web.config entry is right. I'd add the cacheControlCustom-attribute to set the cache control header to "public" or whatever is needed in that case.
You can, of course, achieve the same by providing web.config entries (or files) as needed.
Edit: removed a confusing sentence :)