There are only a couple of changes that need to be made from the one that is included in the default files.
make sure you have the key for access to your database formatted properly. This is where most installation problems occur.
<add key="SiteSqlServer" value="Server=192.168.0.105;Database=DNN3;uid=myuserid;pwd=mypassword;" />
If you are being hosted on a remote site you may have to change the object qualifier or database owner values (this is near line 250 of the web.config file. These need to reflect your hosting provider's requirements. The objectQualifier is not crucial but the database owner key definitely is.
example from a live site:
<add name="SqlDataProvider" type="DotNetNuke.Data.SqlDataProvider, DotNetNuke.SqlDataProvider" connectionStringName="SiteSqlServer" upgradeConnectionString="" providerPath="~\Providers\DataProviders\SqlDataProvider\" objectQualifier="dnn3_" databaseOwner="G13465_dnnuser" />
and third, set the Remote Errors value so you can see meaningful error messages, should there be one.
<customErrors mode="Off" /> - CASE is really important in XML files.