In step 2, that is referring to the "Microsoft Management Console" (a.k.a. "MMC") and not the "Microsoft Exchange Management Console" that you are trying to install. It just means that the MMC is installed on your computer which is standard on Windows these days.
The option you want is indeed "Step 4: Install Microsoft Exchange Server 2007 SP1". After you choose that option, you can choose the Exchange Server Roles you want to install and one of them should be "Management Tools". Just uncheck everything else if needed and check the "Management Tools" box and you should be good to go.