I thought that it will be a simple next,next,next installation, but it turned out that it is more complex than I thought. It is not something very hard to do, but there are some tricky points, especially when installing it on my PC and not on a dedicated strong server.
The installation starts as a simple wizard. Just go on with it but pay attention to this screen:

Here, you need to specify account for every service installed. Because it is a CTP installation and not a real server installation, you can make easy life for yourself and just use an administrator account for all the services because security is not an issue now. In the bottom of the screen, enter account and password of an administrator account and click on "Apply to all".
Now, for the really important note - the startup type. There are three startup types in windows services:
- Automatic - The service will wake up with the operation system.
- Manual - The service will start only by a process or an admin user.
- Disabled - The service can't start at all.
This choice is very important. If you're making the installation on a dedicated machine then you can choose Automatic because you'll need the service to be always running. But - if you installing this on a personal computer then you don't want these CPU & memory consuming services to be up all time long. In this case you need to choose Manual and start these services only when you need them. When you do, you start them by typing "services.msc" in the Start -> Run dialog and then find the service and click on start. I don't see any reason the choose the Disabled startup type in this screen. By the way, there's a new type in Vista called "Delayed", which starts the process only after the Automatic ones have been started. This option doesn't exist here and I don't see any reason to use it anyway.
Now for the big problem - installing the sample databases. The samples are not a part of the CTP so you'll need to download them from
codeplex.
Make sure that you download the samples that fit your CTP version. If you don't have the latest CTP then don't download the latest samples. Find your version in the
releases section. After you have downloaded your samples, start the wizard. When you get to this screen:

you'll get stuck (if you haven't read this first, of course) with this message:

Error 27502. Could not connect to Microsoft SQL Server '(local)'. [DBNETLIB][ConnectionOpen (Connect()). SQL Server does not exist or access denied. (17)
[I copied that for the ones who will find this by google search]
It got me a while to resolve this, so this is what you need to do
before you install the samples:
Open the SQL Configuration manager (Start -> Programs -> Microsoft SQL Server 2008 -> Configuration tools) and enable TCP/IP protocal in the server:

That should solve it. After that, go to the directory "c:\Program Files\Microsoft SQL Server\100\Tools\Samples" and there you'll find the samples with a document that explain how to attach them to the server.
I hope this is helpful to those who got stuck and those who haven't got stuck with it yet. Enjoy.