OK, I finally got my site up.
I changed to the Install version, remoted in to my application server and installed it from there. I set up my database on the database server, just like the document says. And I updated the web.config file with the correct connection string.
Remembering one of the other support threads, I ran it from the app server using the url http://127.0.0.1/dnn. It ran for a while, then gave me a permissions error on the folder where I installed it.
So back to the instructions. It is a Windows 2003 Server Standard Edition running IIS 6.0, so I tried to add the NT AUTHORITY\NETWORK SERVICE account. But it couldn't find that account. It could find NETWORK SERVICE, but that didn't work. I tried every combination with and without spaces, but nothing. Then I tried ASPNET. That didn't work either, but then I noticed that it was trying to use a machine account by that name. So I tried servername\ASPNET, and finally it worked.
So I dutifully changed the passwords on the host and admin accounts and created my user account. Everything worked great while I was remoted in to the web server.
But when I tried to hit it from my PC, no luck...it redirected me to http://127.0.0.1/dnn! Argh!
Then I remembered something from long, long ago. I remoted in to the web server, logged in to the site as host, clicked on the Site link in the upper right corner, and scrolled all the way down to the bottom. There I added an additional Portal Alias of servername/dnn, to go along with the one that was already there (127.0.0.1/dnn).
Now everything is golden. Finally.
I can now die in peace...once I've backed everything up and done a successful test restore on to two other servers...and copied my old 3.x data into the 4.3.6 site...