OK. Another method.
On the language bar, there's a small triangle. Click on that
triangle and select Settings
Look for Chinese (Taiwan) in the Settings tab
Under Keyboard, you will see Microsoft New Phonetic IME 2002a (red
box) or other things.
Click on that and select Properties (blue box)

Then try following:
Select Key Mapping tab and choose HanYu Pinyin

Click OK to apply the settings.
To make sure that it prompts you what words you want:
Repeat Step 1.
Select the Setting tab. Under Input method setup, select Legacy
IME.

Click OK to apply the settings.