I've recently been working with the DotNetNuke 3 betas. Getting the beta working on my local machine was a little tricky, so here are the steps I have found to work. The betas are apparently not shipping with an Access provider, so you'll need MSDE or SQL Server installed for you to tinker at home.
1) Create a directory such as C:\dotnetnuke, or C:\inetpub\wwroot\dotnetnuke. Do not create a subfolder in My Documents, since there may be code access security issues that prevent this location from operating correctly.
2) Grant ASPNET user Modify permissions on this directory.
3) Create a blank database. The docs recommend naming the DB DotNetNuke, but any name will do since you specify it in your connection string.
4) Add the local ASPNET user to the database, with public and dbowner roles.
5) Download the DNN 3 beta.
6) Extract the files into the directory you created in step 1.
7) Open the IIS control panel, and create a new virtual directory mapped to the directory you created in step 1. You must name this virtual directory DotNetNuke.
8) Edit the web.config file so that both SQL connection strings can connect to the database you created in step 3. There are two connection strings, one near the beginning in the appSettings, and one near the end in the SqlDataProvider section. My connection strings read: "Data Source=local;Initial Catalog=DotNetNuke3;trusted_connection=true". Save the web.config.
9) Navigate to http://localhost/dotnetnuke. The portal will create the database and populate the default information.
A common error is the inability of DNN to connect to the database. Make sure the connection string is correct and the permissions are set corectly.