Need help with X-Frame-Options response header configuration - IIS8

I am trying to fix a vulnerability found during a penetration scan. I need to correct the  X-Frame-Options response header and set it to DENY so that the webpage is unable to be opened in a frame. I found this page:

https://developer.mozilla.org/en-US/docs/Web/HTTP/X-Frame-Options

That says to add this to the <system.webServer> section.

<system.webServer>
  ...

  <httpProtocol>
    <customHeaders>
      <add name="X-Frame-Options" value="SAMEORIGIN" />
    </customHeaders>
  </httpProtocol>

  ...
</system.webServer>

to my web.config file. It looked straightforward enough, so I found that section and added that to the web.config file and still getting the alert when I run the penetration test after the change was made.

I need to know if there is something else I need to do in order for this to be set correctly.