Image styles not generated with Drupal 7 on IIS 6
Ok, I figured it out.

The problem was that there were two .htaccess files. One in the top level, that contains most of the configuration and one in sites/default/files, which is security related (avoid execution of php files and similar) and contains just this:

SetHandler Drupal_Security_Do_Not_Remove_See_SA_2006_006
Options None
Options +FollowSymLinks


Now the difference seems to be that in Apache, both files seem to be combined (the one in sites/default/files inherits everything from the top-level one). This does not happen with the ISAPI_Rewrite module that seems to handle the Apache/IIS .htaccess compatibily.

I fixed this by copying the content of the top-level directly into the file in sites/default/files, below the existing content. Additionally, I had to change the RewriteBase so that it included the index.php file in the correct directory.

The header of the changed .htaccess file now looks like this:

# From the original .htaccess file, do not remove.

SetHandler Drupal_Security_Do_Not_Remove_See_SA_2006_006
Options None
Options +FollowSymLinks

#
# Apache/PHP/Drupal settings:
# (copied from /.htaccess)
#

Content of the top level .htaccess file here comes here...


And the part that I changed now looks like this:

# Modify the RewriteBase if you are using Drupal in a subdirectory or in a
# VirtualDocumentRoot and the rewrite rules are not working properly.
# For example if your site is at http://example.com/drupal uncomment and
# modify the following line:
RewriteBase /YOURFOLDERHERE


So when Drupal is installed in a sub directory, insert your folder name. If not, you can leave this part commented out.

I found this thanks to the (unecessarly long) blog post at http://www.caspianit.co.uk/imagecache-wrong-path/

Note: Simply deleting the .htaccess file in sites/default/files did work too, however, that removes the security relevant SetHandler setting. I however doubt this has any effect in IIS anyway...