Now I obtain this error:

DotNetNuke Upgrade Error

The Assembly Version ( [ASSEMBLYVERSION] ) does not match the Database Version ( [DATABASEVERSION] )

ERROR: Could not connect to database.

Impossible to open the DB 'CMS'. Impossible execute the access for user 'sa'.

In the connstring I've used sa (the user of SQL Server 2005 Express) is this an error??
I must to create a new user only for the CMS empty DB????
The new user with permission must have (in... owned schemas, role members)?? 

Thanks

There are two connection strings in two separate places in the web.config file.  If you are using SQL express the config file does not need as many changes as if you are using full SQL 2000 or 2005.  The way the release.config file is distributed has the SQL Express connections uncommented and the SQL 2000/2005 commented out.  This is what you need currently.

Your original post was about a missing DotNetNuke_Template.mdf file missing.  The bottom line is, it is missing.  To get around it someone suggested that you create a database manually which is exactly what you need to do.  Just create a blank database named "DotNetNuke".  In the web.config you can position to "Database.mdf" and change that to "DotNetNuke.mdf" and you will get past the original problem. 

You will then probably stumble on the "SiteUrls.config" file missing which is another installation problem I had.  Still working on that one....