4
I don't know what to suggest, unless anyone else has some ideas. Just shots in the dark.
You could try deleting your cookies, and checking your browser security levels by reducing the levels if they are high. Also check cookies and javascript is enabled.
Some servers need CHMOD 777 for the cache and template_c folders etc, but you may have that already.
Otherwise if it is an early install, all I can suggest is downloading 2.06 and doing a FTP install. Some people have had similar problems using install scripts, and everthing was ok after doing an FTP install.