Yesterday late night I tried again and followed the online guide, leaving out the bits that were too illogical to be part of the problem. The SP2 version works now, but only with SQLExpress (yippee!). I was logged in as admin, but remotely, I guess that was causing some of the trouble during the installation. The PDF still doesn't work for me. I found another online PDF manual
after following this link
(it contains incorrect pdf links going to 404 pages, apparently you remove the guide when a new version arrives, changing the version nr solved the issue. Suggestion: don't remove old guides or instead, inform the user where to find the update).
An important thing to note that's neither in the PDF nor in the online guide: out of the box the CMS will not work on 64 bit Windows Server installations!
In the settings for application pool, change "Enable 32-Bit Applications" to "True". See screenshot for all non-default settings in bold. I guess some DLLs have been explicitly compiled for 32 bit and a specific 64 bit compilation is needed to enable true 64 bit running.
Another important thing to note: you do not need to use "Classic .NET AppPool". You can create your own application pool with the same settings as the Classic .NET AppPool. This has the advantage that existing installations, needing the classic pool, won't break.
About MySQL: I will try that once more, this time with the correct DLL. Apparently, it was correct in SP1, but not in SP2 anymore.