That is strange, the setup page should have created the user for you.
I would make sure you don't have anything preventing it from setting a cookie, authentication sets a cookie so if something blocks it like privacy guard type software it won't work.
Other than that you might try visiting the /Setup/Default.aspx page again or you might try looking in the mp_Users table in the database to make sure the user exists and confirm the password in the Pwd field is admin.
If none of that solves it I would delete all the files and try installing from scratch again.
Hope that helps,
Joe