This should probably be a faq entry.
What I'm observing on the MDM Forum is a common thread of issues that folks are encountering. MS have done a tremendous job with this product in easing the installation and implementation process, plus hiding just how many complex tasks are being carried out behind the scenes, but because there are so many dependencies it's comparitively easy to get wrapped around the axle.
Jarrett Renshaw of MS (you go, Jarrett!) posted a great troubleshooting article on the MDM Team blog the other day. Very well worth checking out. There's an onwards link to it below.
Today I added a post to the MDM Forum that links this plus gives some other useful things to work through in parallel.
And you also get back to the bottom line of this particular product that you can't get away with downloading the executables and then fire up setup - well, you can, and many have tried but I'll guarantee nobody's had it come straight up for them when this approach is taken.
Most of us have had to fight against the (bad) habit of not referring to documentation until we absolutely have to. Stubborn pride, I guess, and yes I am equally guilty of doing this. With MDM all the information you need is there and must be referenced first. I can't stress enough the importance of taking the time to go through the Planning Guide in detail and leverage the heck out of the BPA.
Link here: http://forums.technet.microsoft.com/en-US/SCMDM/thread/557b52cc-0091-43f2-b4c1-bf49ae446c4f