Hey Spid,
I'm not quite sure about your scenerio, so I'm probobally going to over-explain a little bit. :)
1) Install DNN into its own directory.
2) Create a Virtual Directory (application) for the site
3) (set up all the db stuff - you already know how to do that)
4) browse to Site.com/{Application}
You do always have to have dnn in an app directory, however, some host require that it run from a child directory (site.com/app) instead of a root directory (site.com). With Alaises, you'll want to give it the application URL that you want to be able to access your site from.
If you're looking for a good host, I would 100% recommend
www.PowerDNN.com . They really know DNN inside and out (they're platinum DNN benefactors) and their tech support is virtually always free as well. They'll set you up and everything for nothing. Also, they're in the process of setting up a streaming video server for hosting and DNN questions. Its really pretty sweet.