I've tried all the articles and videos to try and get this to install on vista but it's not working.  Here's what I've done so far:

SQL
Created DB in SQLExpress
added new user in the security login
used User Mappings to add user as dbOwner
Set Authentication Mode to Windows & SQL

IIS
Created Application and set to Classic ASP.NET Application Pool
Added all the windows components of IIS

NTFS
Added Network Service w/ full control

I'm getting these errors on the database page:
Failed to generate a user instance of SQL Server. Only an integrated connection can generate a user instance. The connection will be closed.

If I run with Integrated Checked then I get:
An attempt to attach an auto-named database for file c:\sites\dnn4\App_Data\dnn4_db.mdf failed. A database with the same name exists, or specified file cannot be opened, or it is located on UNC share.

Any Ideas or Suggesstions?

Thanks Jeff. I tried that and I'm still having the same problem.  Note:  If i use a SQL 2000 database located on our development server it works fine.  But I need this on my local machine.

Here's what I did.  Do you see any trouble areas?

Deleted DB. Deleted IIS Application. Deleted Physical Files.

Checked IIS Components against the diagram.
Made new database called dnn4_db
Created new login and gave both scheme and role as dbOwner to new login.  New login called dnn4
Unzipped DotNetNuke_04.08.02_Install.zip into folder called dnn4
Added Network Service and gave full control to the folder
Created IIS application (tried under defaultAppPool and Classic)

Ran the installation with the following:
SQLExpress File
Server: ROB\SQLEXPRESS
Integrated: unchecked
login: dnn4 (with correct password)
run as dbOwner: checked

Connection Error(s):
Index #: 0
Source: .Net SqlClient Data Provider
Class: 14
Number: 15364
Message: Failed to generate a user instance of SQL Server. Only an integrated connection can generate a user instance. The connection will be closed.

Any Ideas?