Well, after i had that problem, i thought: let's try DotNetNuke 4.0.2...
Then, when i followed the same steps for instalation i noticed some things i did wrong:
1) in IIS, on execute permissions, i had "Only Scripts", rather than "Scripts and Executables"
(i think that this wasn't the problem)
2) on File Permissions, i didn't create user: File Permissions->Security new user "localmachine/aspnet" Full Control
(i think this was the problem)
3) on Web.config the database owner wasn't defined to the user i wanted
databaseOwner="username" />
I hope this could help you...