Another correction 1st. I set my dnn directory with the permissions, READ, WRITE, WEB, and SET ROOT. I neglected to include the last, my apologies.
To answer you questions:
1) Unzip - I unzipped EVERYTHING, going through every directory. I had tried the install without unzipping everything and was not succesful
2) Create the SQL database but do not creat any tables, the DNN install will do that
3) Once you create the SQL database, navigate to the DATABASE, SQL SERVER link, then click on the username link, that will bring up a page with your information. Check the following and put them in the correct palces:
DATABASE NAME DB_XXXX goes to DATABASE=
HOST NAME whsql-xxx.xxx.xxx.secureserver.net goes to SERVER=
USERNAME yourusername goes to UID=
The password you specified for the db goes to PWD=
I installed DNN for additional control. I was able to get my VALUE APPLICATION installation of DNN to work without problem, I just wanted to be able to manipulate the SQL DB and play with the code.