@bikeman123:
I've read your posts I feel your pain. I spent 2 1/2 years in LAMP before coming back to .Net framework and MS technologies and while there is some crossover between the two there's still a learning curve.
The web installer is not perfect and it is Microsoft's baby DNN is just one of many "hosted apps" within it. The installation screen for the database assumes a lot.
You have SQL experience and you understand SQL permissions and can set them.

What you are expected to do is actually set SQL Server or SQL Express to "Mixed Mode Authentication" before you start MS Web Installer.
You do this by launching SQL Management Studio and in the pop up that appears you choose "SQL Server" or "SQL Express" for your "Server"
You log into "SQL Server" or "SQL Express" then in Object Explorer you right click "SQL Express" at the top and select "Properites"
On the "Properties" sheet select "Security"
Click the radio button for "SQL Server and Windows Authentication" (Mixed Mode Authentication)
Click "OK" to close the "Properites" sheet
Now open the "Security" folder in Object Explorer then open "Logins"
Right click "Logins" then select "New Login"
Click the radio button for "SQL Server Authentication"
Make up a login name and apply a password
In the same pop up click "Server Roles"
Tick the "sysadmin" checkbox
Click OK to save this new login set as a sysadmin
Go back to the MS Web Installer and when prompted you your new login as the database user name


HTH,