Here's what I found to work for me when installing 4.0.2 from scratch...

1. Unzip the source files to a directory like c:\prj\DNN or whatever you would like to call it
2. Create a virtual directory in IIS (I used Win XP Pro, IIS 5)
   1. Check the options for Write, Read and Script source access in the directory properties
   2. Check that your ASP.NET version is 2.0
   3. Add Default.aspx to the documents as a default.
3. Using SQL Server, create a database with any name you would like... DNN
   1. Create a SQL User for the database like 'DotNetNuke'
   2. Add the user as a log in to the database
   3. Add the login to the db_owners fixed database role 
4. Copy and paste release.config to the root of the virtual directory, then rename to web.config
5. Using the connection string for Sql Server 2000/2005, make the appropriate changes to connection strings
6. For the physical c:\prj\DNN directory, set the permissions to read, write and modify for Network Service and ASP.NET for the local machine.
7. Compile the projects in the following order:
   1. CountryListBox
   2. DNN.WebUtility
   3. DNN.Library
   4. All other Class Libraries
      (if there are any problems here with builds failing, play with the order. It won't hurt anything.)
8. Navigate to the virtual directory and wait for the installation/setup to complete

This worked for me, but may not work for everyone.