There should be no problems performing this on windows 2008, at least we haven't experienced any so far. Can you please try performing again the described in the article procedures, just to make sure something was not omitted. This video
demonstrates in detail installation of a Sitefinity 4.0 project on an identical setup as yours, can you please browse though it and check if the steps you took differ in any way, and if so, please inform me.
the Telerik team