I believe I managed to get setup, but I cannot get the website to show in the browser. I get the following message (also what database is DNN referring to, SQL?)

Domain Name localhost/DotNetNuke Does Not Exist In The Database

DotNetNuke supports multiple portals from a single database/codebase. It accomplishes this by converting the URL of the client browser Request to a valid PortalID in the Portals database table. The following steps describe the process:

Web Server Processing

When a web server receives a Request from a client browser, it compares the file name extension on the target URL resource to its Application Extension Mappings defined in IIS.
Based on the corresponding match, IIS then sends the Request to the defined Executable Path ( aspnet_asapi.dll in the case of ASP.NET Requests ).
The aspnet_isapi.dll engine processes the Request in an ordered series of events beginning with Application_BeginRequest.
HttpModule.URLRewrite OnBeginRequest ( UrlRewriteModule.vb )

The Request URL is parsed based on the "/" character
A Domain Name is constructed using each of the relevant parsed URL segments.

Examples:

********

Return to Site

When you set up DotNetNuke, what package did you download from here?

Yes

Did you edit the web.config file?

I edited it to point to my SQL db, yes

do you have SQL server set up, and did you set up a database called DotNetNuke?

Yes, No it is called DNN

Are you using SQLExpress with the default file?

I am using SQL 2005