I have the same problem.
In the instalation, Moodle don´t show the step of the admin´s configuration.
Then, when I go to the home page and try to login as admin, password admin, it recognizes that it was the correct password, but appears again the login page.
When I put a wrong password, appear the message of wrong password, then I put the correct password and it accepts the enter and send me to login page AGAIN. Same when loggin as a guest.
I think that the authentication is working, but something wrong occours after this step.
I have configured to accep all cookies. It occurs with IE 6 and Firefox, then the problem don´t seem to be about cookies.
Someone knows what could it be?