I just signed with EasyCGI too.  I installed the latest version of DNN.  Just go by the readme file and you shouldn't have any issues.  I did have to install MS SQL Express first.

I'm in the process of evaluating the whole setup because I am experiencing some latency with page loads and frequent errors.  I’m trying to figure out if it’s because of the VPS environment.  I do have my suspicions and would be curious if you experience the same with you install of DNN.

Here is what’s in the readme:

Clean Installation

- .NET Framework 2.0 must be installed
- unzip package into C:\DotNetNuke
- create Virtual Directory in IIS called DotNetNuke which points to the directory where the DotNetNuke.webproj file exists )
- make sure you have default.aspx specified as a Default Document in IIS
- rename release.config -> web.config
- SQL Server 2000 or 2005
  - manually create SQL Server database named "DotNetNuke" ( using Enterprise Manager or your tool of choice )
  - set the connection string in web.config in TWO places ( ie. <add key="SiteSqlServer" value="Server=(local);Database=DotNetNuke;uid=;pwd=;" /> )
- the {Server}/NetworkService user account must have Read, Write, and Change Control of the root website directory and subdirectories ( this allows the application to create files/folders )
- browse to localhost/DotNetNuke in your web browser
- the application will automatically execute the necessary database scripts and provide feedback in the browser