The CRM Product Group has completed test certification of Microsoft CRM v3.0 using SQL Named Instances, and CRM Customer Support even agreed to officially support it. This does conflict with what is in the current Impllementation Guide, which specifies it in the has to be installed in the default instance only. (Yes, I am relatively certain that the documentation will be updated soon.)
If you want to install CRM in a Named Instance, your best bet (only bet) is to call or submit a ticket via PartnerSource. The process is documented, they just want to walk you through it as it bypasses the Environmental Diagnostics Wizard (EDW) at the beginning of the setup process.
No additional hot fixes or service packs are required, but we you to call in so that we limit the number of customers bypassing the EDW. The EDW is a powerful tool to diagnose potential deployment problems, and should always be used when setting up against a SQL Default Instance.
Thanks to the Product Group, Test and Sustained Engineering and Support for listening to customers and partners! This rocks!