I had the same error, and fixed it by increasing the default application timeout in the IIS virtual directory properties from the default 110 seconds to 900.  Basically the install takes the longest when it's creating its stored procedures (I think in particular for the shopping modules), and if the asp.net application is not given enough time to create these via IIS then it will timeout and disconnect without any real description error in the events log.

Here's the fix:

1. Open IIS, and right click on the virtual directory you set up for running the dotnetnuke install.  Choose "Properties".

2. Open the "ASP.NET" application tab, press "Edit Configuration", and then select the "Application" tab.

3.  Change the "Request execution timeout (seconds)" value to be say 900 or more.

4.  Try the install again, it should work this time if you were getting some tables being installed before the timeouts were occurring.  Otherwise, it might be another issue.

Good luck :)

Shan