I configured IIS 5.1 on XP Pro, user permissions on the dnn folder (for mymachinename\ASPNET), set up the database in MSSQL 2008 R2 with the mymachinename\ASPNET account as the owner, and it kept hanging up on the page where it begins installing the database scripts and continues to update the database scripts from 5.0.0 up to 5.6.1.

I could not find a solution on here, but I just stumbled upon it myself.  I was using Opera as my browser while going through the installation wizard and it was constantly hanging up at that point after deleting everything (even uninstalling IIS and MSSQL 2008 R2 and installing everything fresh).  I finally went and used Internet Explorer 6 (I have it on this particular machine for testing) to see if that had any impact, and it completed the installation process without hanging up at all.  So if you're using a non-IE browser and you're having problems installing DNN because it keeps hanging up on the database script updates, switch over to IE and see if this solves your problem.