It's a shame that we have to produce an installation guide to help developers get the various required components for Visual Studio Team Foundation Server up and running, but that's one of the vagaries of beta software. It's clear that not everyone is familiar with this installation guide, so I'm linking to it here. It describes the order of installation, accounts that need to be created, how to manage security on the server, and how to deploy TFS in a distributed server environment.
Just to add to the fun, when I downloaded this guide, it didn't allow me to view the pages of the CHM by default on my Windows Server 2003 box because of the heightened security settings in this environment. If you get a browser error page when you open the help file, right-click on it and choose Properties, where you'll find a setting that allows you to unblock active content:
Once you apply this change, everything should be good to go. Hope this helps - it's worth it in the end, as the Team Foundation Server capabilities are a fantastic addition to Visual Studio (well, I would say that, wouldn't I? 🙂