I believe all of us installed the latest version which is 5.1.4. I done the same setting on Window XP environment and it works. The setting are below;

1) Unzip all files from install zip package to C:\dotnetnuke
2) Configure the directory's security setting, as allow ASPNET account to have full control(for window XP) and NETWORK_SERVICE to have full control(for window server 2003).
3) Create a database named "DotNetNuke" in SQL server 2008
4) Create a virtual directory link to C:\dotnetnuke win Window XP and Window Server 2003
5) install using 'sa' account for database connection.
6) finish the installation with typical setting and goto main page.
7) When click on login link, it works on Window XP and not at Window Server 2003.

I tested many time at my server (win2003) and my pc (WinXP). It appear error message only at Window XP.
Same to my colleague's Window XP, it works. However, i only have one server running win2003.
To those who have problem, what window that you installed at ?