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Hi Joe,
Sorry for the poor experience... we do strive for a easy OOB experience, but obviously have only so much control over the underlying platform (IIS).
SQL Server is required, but you don't have to install SQL Express; we'll try to clarify the "use your own" option on the installation screen.
SQL Express is provided for those who don't have a SQL Server instance to use. We don't have much control over the obscene amount of time it takes, but that's why Lights Out is there...
The redirection is a result of some IIS configuration. It could be a LOT of different things, maybe .NET 2 isn't installed/configured/enabled, maybe a global handler is there, etc. This is why we provide the integrated web server, to get started faster.
Can you provide some specifics about what IIS you're using? We might be able to provide some pointers on where to start looking...