Microsoft has a whole bunch of issues with the order of installation for different configurations. This was caused by the timing of the releases as well as the new security initiatives that leave things turned off by default.
Here is one version of a step by step installation of everything *before* DotNetNuke.
Windows XP Pro
1) Requires SP2 (run Windows Update to ensure security updates are applied for SP2)
SQL Server 2005 Express Edition System Requirements
http://www.microsoft.com/sql/editions/express/sysreqs.mspx
2) Install IIS 5.x (run Windows Update to ensure security updates are applied to IIS)
3) Install .NET Framework 2.0 (run Windows Update to ensure security updates are applied to .NET 2.0)
SQL Server 2005 Express Edition does not install .NET Framework 2.0
http://msdn2.microsoft.com/en-us/library/ms143506.aspx
4) Verify ASP.NET is enabled (or SQL Setup will enable it)
Verify the currently enabled and allowed versions of ASP.NET (IIS Manager|Web Service Extensions|Allow ASP.NET 2
http://office.microsoft.com/en-us/assistance/HA100598511033.aspx#Inst2on2003
Windows 2003
Installing ASP.NET 2.0 on Windows Server 2003
http://office.microsoft.com/en-us/assistance/HA100598511033.aspx#Inst2on2003
Windows 2003 R2
Installing ASP.NET 2.0 for Windows Server 2003 R2
http://office.microsoft.com/en-us/assistance/HA100598511033.aspx#Inst2on2003R2
5) Install SQL Server or SQL Server Express (reapply any hotfixes or service pack updates)
a) Version and Edition Upgrades (Note Cross Language/Localization Issues)
http://msdn2.microsoft.com/en-us/library/ms143393.aspx
b) SQL Server 2005 Express Edition and SQL Server 2005 Developer Edition do not allow remote connections by default
http://support.microsoft.com/default.aspx?scid=kb;EN-US;914277
c) Login failed for user ‘sa’" error when upgrading to SQL Server 2005 Express Edition with Advanced Services
http://blogs.msdn.com/sqlexpress/archive/2006/04/20/580312.aspx
d) SQL Server 2005 Express Edition User Instances
Common Issues
i) The user instance cannot attach the database because the user does not have the required permissions
ii) A variation of this issue is when the user that opens the user instance connection has read permissions on the database files but does not have write permissions.
iii)If you leave the database attached to the IDE and try to run the ASP page from your browser, ASP.NET cannot open the database because the file is still in use by the IDE.
http://msdn.microsoft.com/sql/express/default.aspx?pull=/library/en-us/dnsse/html/sqlexpuserinst.asp#sqlexpuser_topic3
6) Install Visual Studio or Visual Web Developer
7) Install DotNetNuke
Great SQL Summary Article
Configuring an ASP.NET 2.0 Application to Work with Microsoft SQL Server 2000 or SQL Server 2005
http://www.spaanjaars.com/QuickDocId.aspx?quickdoc=395
I hope this is of some help to you.
Can't we all just wait for ASP.NET 3.0 and IIS 7, not to mention Vista!!! ROFL!!!