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 Create a new server farm.
Enter the database server name and the Database Access Account
Select the default values.
These are the steps for how to install Windows SharePoint Services v3.0
Startup the setup executable.
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.
Because I don’t want to use SQL Server Express, I select the “Web Front End” option. Yes, it sounds odd, but the other option would install and user SQL Server Express, which I don’t want in this case.
Since I will install MOSS right after this step, I choose to un-check the checkbox and click Ok.