Hi! What do you mean by "after I have run the Install.aspx file for DNN4.x"? The reason why I am asking is that this kicks off as needed when you navigate to your root directory, i.e. localhost/YourDNNSite or www.YourDNNSite.com. I do not believe that you need to run this page by typing in the Install.aspx as part of your URL, but if you did, then the message may actually make sense in that it is confirming you are up to date and ready to go!
Regarding the http://localhost/DotNetNuke4/default.aspx URL, this should be OK to type in. What I would do is Open IIS and make sure that your Virtual Website, DotNetNuke4, exists. If you do see DotNetNuke4 but without the "package" icon (like the icon you would see in MTS/COM+), then right click the folder and select Properties and click the "Create" button. If it does not exisit, then right-click the top level icon (globe) usually named "Default Web Site" and select New > Virtual Directory and create it.
Are you installing this on WinXP or Win2K/Win2K3 Server? If on Windows 2003 Server then the default settings for IIS are "locked down", so you will need to enable some settings, such as aspx page, etc. If you are using WinXP or Win2K then there shouldn't be any special settings that need to be made. Finally, if you are not joined to a domain, make sure that "Use Simple File Sharing" is NOT checked. To do this open Windows Explorer and go to Tools > Folder Options... and click the View tab. At the very bottom uncheck the "Use simple file sharing (Recommended)", if checked. Then locate the folder that your website is in, i.e. C:\My Projects\DotNetNuke4. Right click the folder and click Properties and click the Security tab. Click the Add button, click the Advanced...button and click the "Find Now" button. Locate ASPNET (for WinXP/Win2K) and select it (Click OK twice) and check the Full Control checkbox. Open up IE and type in http://localhost/DotNetNuke4 and you "should" be able to see your site.
Good luck!
John