Take a look at your event viewer on the web server. That will give you some clues. Also check out the database. Did you get a partial installation of the database tables and stored procedures? I am running into a ton of problems, too. I followed the instructions to the letter and the stock answer for this problem seems to be, "Check your connection strings." Well, we have, right?!!! Of course, you need to be certain that once connected the user account has the appropriate rights: db_owner. So you have that, right? You have your file/folder permissions set properly on the DNN directory, right? You did the whole rename release.config to web.config and did all the necessary tweaks per the instructions, too? Cool.
In researching the issue, you will find that many people talk about dropping the db and creating it from scratch, adjusting your configs (read "correcting them" if they were botched), and then re-running the installation. Another thing to look for is the presense of the dnn.config file in your Install directory. You're supposed to get rid of that thing if you're doing a re-installation.
I have read some interesting posts about the actual database build scripts having problems. That is what I suspect for my case where only 1 table and 3 procs were created. There presence tells me that I can indeed connect AND create db objects with the specified account. My hunch is that something in the actual build scripts is failing. In those posts that I mentioned, some folks suggested looking through those scripts for reserved words and the like. They need to be properly opened and closed (if a column is called level, which is a reserved word, then you need to do something like ["level"]). I have had that happen in my own build scripts because I am being hasty.
If I find anything else out that gets me through this, I will probably post the solution here.
BTW: I am using Windows 2003 server, DNN 4.5.1, and SQL Server 2000 (on a separate database server). Many of the posts talk about single server installations and SQL Server Express/MSDE/whatever. Kind of annoying since those things should really be physically separate, but what do I know?
Oh, you might consider running a trace on your database to see what is happening there. I just thought of that so I am going to see how that goes.
Good luck,
BR