Marc,
I now remember there was one time when I saw the site enter into infinite loop last week (although I didn't check which procedure it was calling), when I was installing DNN 4.x with Windows Authentication. Did you enable <authentication mode="Windows" /> in the Web.config? That's what made it loop in my case.
It is a common pitfall, as it should remain <authentication mode="Forms" />!! 
The Integrated Windows Authentication is being enabled in IIS, and you also enable (uncomment) the "Authentication" HTTP module in Web.config (which is the one that makes automatic sign-on happen).
In fact, to make incremental steps and check that stuff is working as expected, I suggest not to enable "Authentication" module straight away. You can duplicate what it is doing manually by pointing browser to \Admin\Security\WindowsSignin.aspx, which will log you on using current Windows credentials that IIS passed in to the app. After this is working, enable the "Authentication" module to make this happen automatically.
I also made a Login page (and set it as default Login page for the site), where I put the usual login control, so that Administrator/Host can login, and a link to the \Admin\Security\WindowsSignin.aspx page called "Sign-in using Windows Authentication". Reason is that users can still Logout even if signed in automatically, to sign back in they would click on the link. Administrator and Host, however, have to sign in using DNN authentication, hence the login control. (NOTE: Make sure login control is added before setting the page as Login page, otherwise you may never login into DNN again!).
Hope this helps.
Cheers,
Lev.