In order to install Exchange 2007 Edge server role you need to install Active Directory Application Mode (ADAM) on your computer if you do not have Windows 2003 R2 installed. You can download ADAM from this link.
ADAM is part of Windows 2003 R2 and you can find it in Control Panel --> Add/remove Windows Components
You do not need to create an ADAM instance by yourself for Exchange 2007 Edge server. ADAM instance will be created after you create Edge Subscription on Hub server.