I've found this same issue but I'm running the following:
VS 2005 (not express) -- in Firefox browser
Connecting to SLQ Server 2000
I've had previous versions working where I upgraded to 4.5 with out a problem, and when I run it with the auto installation it seems to install fine. "testing" the connection from the DB connection page also gives back a possitive result.
Seems to be just hanging on the Run Database Installation Scripts "page". Next link is clickable, but does nothing.
Looking in DB, Versions table gets created, but that seems to be the end of it. Nothing is displayed in the text box.
Hope that helps in debugging.
As a solution, after trying to run it the first time, I go in and drop the Versions table, then back up to the first screen and use the auto options and installation is fine.