I've not found that screen to disable some features when I install. It would be great to find considering I would never use Messenger, Outlook, Office ect.
Next, you're looking for the Windows Components dialog box:
Note that when you select an item that has more sub-components available, the "Details" button's text will be black instead of grayed-out.
In the above screen shot, you'll see that there is a black check mark in the box to the left of Outlook Express. If you don't want to use Outlook Express, select it (so it's entry line is highlighted in blue) and then click the box to deselect it (to remove the check mark).
Hope this helps.
--Two-Shoes