In order to have Internet Explorer 8 on Windows Server 2008 behaving good, you need to disable or configure the loopback check. Read this article for more information.
Download the installation media from Microsoft, or use your supplied DVD media. I recommend you to apply the latest service pack 2 to the media files. Unfortunately, at this time of writing, there are no slipstreamed Service Pack 2 media, but you can follow this guide to make your own. Start the setup. Select Complete. [...]
These are the steps for installing Windows SharePoint Services v3.0 Download Windows SharePoint Services 3.0 with Service Pack 2, either 32bit or 64bit. Startup the setup executable. Click Continue. For this example I will setup my SharePoint as a standalone server with a dedicated SQL Server instance (not SQL Server Express), so I select Advanced. [...]