If you have an HP ML350 G5 and use the SmartStart disk to install SBS 2003 R2 and you get this error when you run the CEICW (Connect to the Internet Wizard), check this location in the Registry, HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\InternetSettings\ZoneMap.
If the ZoneMap key is not under InternetSettings, add it. It seems that the HP SmartStart cd removes this key and it is needed when you run the wizard because it adds entries into the IE security zones. It is also setting the "Require server verification (https for all sites in this zone" checkbox on the local intranet zone.
Thanks to Mariette Knap with the Small Business Support Forum for letting us know.