The installation went fairly smooth, as our server is a Windows Server 2003, which means that umbraco comes with an auto-installer. Of course, I first had to install Microsoft SQL Server Express. Thankfully this was also straight forward.
To install I used this document: http://umbraco.org/documentation/books/install-umbraco-30-on-windows-server-2003
1. Install MS SQL Server Express
2. Install umbraco
3. Remember to setup your domain or subdomain name ;-) with your ISP and in IIS
One little problem was that when pointing to the database, my default SQL Server Express database name was something like MSSQL$L12325413, essentially the default name of my machine, which the SQL installer had assigned. This was NOT obvious to figure out, and there was no help from umbraco to find the name of the database. What I had to enter in the umbraco installation was thus: "L12325413/L12325413", machine name/server name...
Once that was sorted out, installation went smoothly.
TIP: To find your database name, run the SQL Server Surface Area Configuration (Catchy name), select the Surface Area Configuration for Services and Connections, and find the service name.
That leaves you with an empty umbraco, alone, naked and lost...
So, to learn more, I installed the WebsiteWizard package. It provides a good overview of simple functionality. The package repository can be found here:
http://packages.umbraco.org/packages