If you want a straight forward DNN installation with no problems, I've found that the following works pretty much everytime for a quick demo setup AND follows the instructions pretty much spot-on.
START: Log into or Remote Desktop directly into the webserver you want to install DNN onto (probably a test server if you just want to demo the thing).
1. Create the virtual directory within the default website in IIS and setup for ASP.NET 2.0 and allow anonymous.
2. Give Network Service (Win2k3) user full folder rights to DNN directory through Windows Explorer.
3. Unzip the dnn install zip file into your virtual directory, rename the web.config to something else and rename release.config to web.config
4. Create a new database in the full blown version of SQL Server 2000 or higher (if you have it) with enterprise manager - the developer version is free for Microsoft partners (and maybe non-partners??).
5. Create a new database user under the security folder in enterprise manager, give them access to your DNN database and make this user the DBOWNER.
6. Back in your newly renamed web.config (previously release.config), change your connection strings to point to the IP address or domain name of your database server as well as your new dbuser and password.
7. Open up the web server's browser and type in http://localhost/YourDnnDomain/
8. When the DNN setup starts up, just select 'Typical' - the custom one usually bombs.
With those above steps, I have never had trouble installing DNN through multiple minor versions of 4.*
Obviously if you are installing on GoDaddy or any kind of environment beyond a 2-tier demo system, it could get hairy. But the above should work 99% of the time, in my experience.
Chris