I'll follow this up, it may help someone.
I realized that the module exists in admin, you don't have to add it. So I reinstalled DNN and I set the properties on the Admin Authentication module.
I got OK for Accessing Global Catalog and Checking Root Domain and FAIL for Accessing LDAP and Find All Domains in Network. Don't know why, all my settings look good.
So I tried logging in anyway and it seems to work. I can log in using an AD account. Now the problem I having is with Roles/Groups. No AD groups were created in DNN, although I'm not sure this functionality is available yet.
So I created a role in DNN that matches a group in AD, my AD user is in this AD group. I created a page in DNN and assigned security to the new DNN role. I logged in expecting to see the page and I don't. I tried prefixing the DNN role with my domain name and still no luck.
Anyone know what I'm doing wrong? Does the FAIL for Accessing LDAP/Find all domains have anything to do with it?