When it gets to the step of installing additional software, however, things go wrong:
Microsoft SQL Express 2008 (logging instance) could not be installed. As a result, Forefront TMG installation cannot be completed.
To be not entirely correct solution:
Browse to the FPC folder on media. Run MS_FPC_Server.msi.
Once you’ve got TMG installed, open it up, and select the Logs & Reports list item.
Change your selection from the embedded SQL database to a local file destination, or a standalone SQL instance if you’re into that sort of thing.