Ok, so I might have just experienced the longest newbie installation on record, but I am happy to say I finally got it working (I wish I still smoked). 

I installed this locally using the following:

Win XP Pro

SQL Server 2005

ASP.NET 2.0 (newbies, make sure you change this in IIS (Virtual Directory >> Properties >> ASP.NET)

It seems as though I have encountered just about every error...permissions, db connectivity, "missing SPs", threads timing out, "can't find the path"....a veritable cornucopia of messages most of which really didn't mean anything - what I affectionately call phantom errors.  I would try to research the bug, debug in VS...you name it.  I would delete the db and the virtual directory and start over - and to my surprise, I would get a different error. :)  Yay!  That was fun! :) 

So, it wasn't until I read the link below that made me think that setting up IIS and the db anew wasn't enough...I didn't re-extract the files again.  I think this was the key, and would have probably allowed me to have completed this task yesterday.  :)

So, as the article below says, whenever you get an error message, try fixing the error, deleting the db, IIS entry AND re-extract the files from the zip download.  Sounds like a pain, eh?  Ah, but think of the positive side:  If you are like me, you will get many chances to hone this skill  ;) You will be amazed and dazzled at how fast you will become!  :)

Also, when I got the thread error, I noticed that I had (as I am wont to do) started moving on to something else while the install was running.  So, after closing everything (maybe that was overkill), deleting all the items above, I just sat there and watched (ok, so maybe there was a little sacrifice to the programming gods...) and did nothing else.  Success!

It is the last post on this page:
http://forums.asp.net/1001292/ShowPost.aspx

Remember:

"It's only work if somebody makes you do it."
Calvin & Hobbes

I would get a cornucopia of