Hi all,
I am having great difficulties also installing DNN. I am trying to install it on Windows Server 2003 with a SQL2005 Express edition DB. I am also trying to install DNN v4.0.3.
I do not have great SQL or IIS experience and the IIS was set up for me as it is a dedicated server package with 1and1 hosting.
the steps I took is created a SQL database called databse. I have only created a Database, I have made no changes to the defaults. I have copied accross the DNN Install.zip and unzipped this to www_root folder. here I rename the release.config file to web.config. I do not change the database as I named it database.
Now in IIS I have a website called MyWebSite, this was what 1and1 set up for me.
From teh default that was set up i added DotNetNuke in the Application name on the HomeDirectory Taqb and ensured it was set to ASP.NET 2 on the ASP.Net Tab. I also created a virtual directory called DotNetNuke.
That I believe is all I have done. I have downloaded the manuals and looked as much as I can so this is my last resort after 2 days 
When i try to run http://MyWebSite/ all i get is a Server Application Unavailable error.
If anyone can shed some light or point me in the right direction it would be greatly appreciated.