Setting up SharePoint Server 2007 with remote-SQL isn't exactly easy. I found a web page that has a step-by-step here. You should begin this process from a fresh install of Windows Server as SharePoint tends to take over IIS. Make sure you run the install of SharePoint when logged-in as your SharePoint Administrative account. Double-check everything as you do it. It's really difficult to uninstall and re-install this product.
One last thing before we start, if you're installing SharePoint on one box and have no intention of using remote SQL or a server farm (multiple servers), just go ahead and run through the install like you would with a Microsoft Word, that is, "next, next next," it basically sets itself up.
Below are my comments that you should reference while going through the directions on the page linked above.
-Don't worry about Microsoft Windows Workflow Foundation Runtime, I think this was just for the Beta.
-Create the Shared Services Provider (5) - Change "Description" to "SharePoint Services" and "Port" to "4000"
-Create the Shared Services Provider (9) - Change "Application pool name" to "SharePoint Services"
-You probably don't need to start the Windows SharePoint Services Web Application service as it's probably already started if it needs to be.