OK, I just watched the installation video, which by the way does not match the current installation UI, and it said that I needed to install SQL Express first. This contradicts the screen in the installer that states this:
Do I need to create the database beforehand?No. If you select Microsoft SQL Server Express, the database will be added automatically. If you select Microsoft SQL Server, the database user should have permissions to create a database or you would need to create the database manually.
So, which is it? I'm going to uninstall Sitefinity, install SQL express and try over.