I have the same problem
Vista Ultimate, with Visual Studio 2005 Professional, and SQL2005
What is happening is the install gets stuck on the database scripts.
It installs the version table and stored procedures, then just hangs there
I tried the Starter Kit and the Install packages for version 4.5.3 and 4.5.5 and even though I updated the database connection strings, I could only get it to work if I selected AUTOMATIC on the database page.
I tried using SQLExpress database file, a database in SQLExpress and a database in SQL2005
Every time, it created the version table, and then stopped working,
I did get entertained waiting 30 minutes watching the little red progress bar.