The new sample database installers which shipped at the end of October 2008 greatly simplify the installation process for the sample databases. For one thing, there are only three installers to choose from instead of tens of installers. Just pick the install that is right for the architecture of the machine you'll be installing on (x86, x64, or IA64). Step by step installation instructions can be found at here.
The new installers create the databases using scripts and CSV files rather than attaching MDF/LDF files or restoring backup files. This means that the databases will be created with the default collation of the server rather than us picking one or the other for you. Because they create all the sample databases, you don't have so many installers to pick from. Things should just work. Thanks for your patience while we've been working out the issues with the installers. Please let us know what you think about them.