The trick is to understand that this particular wizard still requires you to do some groundwork, as I recall anyway.  There is a DNN Installer, a seperate app, and then there is this wizard.  When I created the db, folders, IIS site,  modified the web.config, and set security permisions - the wizard was the first thing to do it's work, bringing up the screens.

I would agree that there seems to be some duplication or some flow oddities, and I'm not sure I'd call it a 'wizard', but as I've done this a few times, it works for me.