I have having the most difficult time getting DotNetNuke Installed. I cannot get past the SQL config in the webUI.
I have installed MSQL Express 2008
Database Instance = .\MSSQLSERVER
Data file in the c:\Program Files\Microsoft SQL Server\MSSQL10_50.MSSQLSERVER\MSSQL\DATA\Website.mdf

I set up the database just like the instructions said. Created database, then added user, and gave that user permissions.
However, even if I use integrated security, or specific user, it will not work. I have used sa account as well.
I have checked the server instance name, database name, mdf file name (you see it above), and make sure the sql server supports mixed mode authentication. See error below

Configure Database Connection

You can configure the database settings used by DotNetNuke on this page. If you are installing DotNetNuke in a "Hosting Account" your hosting provider should have provided you with the information.

There are two options for SQL Server 2005/2008. SQLServer 2005 and SQL Server 2008 support the use of Database Files. In most situations you should choose the Database option, but if you are using SQL Server 2005/2008 Express then you should use the File option.

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Select Database:

SQL Server 2005/2008 (Express) File SQL Server 2005/2008 Database

Server:		Enter the Name or IP Address of the computer where the Database is located. (if using Oracle enter the Data Source (SID))
Filename:		Enter the name of the Database File (located in the App_Data Directory)
Integrated Security:		Check this if you are using SQL Server's Integrated Security, which means you will be using your Windows account to access SQL Server. If you are using SQL Server Express then you will most likely need to check this option. If you have been given a UserId/Password to access your Database, leave this unchecked, and provide the UserId/Password combination.
Run as db Owner:		Check this if you are running the database as Database Owner - if left unchecked you will be running as the User ID specified
Object Qualifier:		Enter an optional "prefix" to use for all your database objects - this helps ensure that there are no object name clashes.

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Connection Error(s):
Index #: 0
Source: .Net SqlClient Data Provider
Class: 20
Number: 87
Message:

For reference i have tried both database type options. In addition, i have used SQL named users as well. I used SA and a user created specifically for that database.
I can log into SQL both integrated and with both sql users. The installation aspx will not work. Is there another option for installing?

I have figured it out. After uninstalling and re-installing SQL a few times, i realized that it had to be a connection issue. I looked over the web.config and I realized that even with the correct info for the connection string, I needed to comment our the SQL express line for both connection and app config sections. Also double check and make sure your <!-- Connection String for SQL Server 2005/2008 --> is not commented out. It is by default.  Look for the --> line right below it.
Thanks and I hope this helps someone.

-jeff