I've been installing CM on various servers lately and I've found that there's a path that should be followed for best results. So, here it is:
Install win2k.
Install all MS patches from the WindowsUpdate site.
Run the registry hacks to allow it to install on anything.
Install Cisco's OS-Update patch to get to 2000.2.7
Install Cisco's OS-Update patch to get to 2000.2.7sr2
Install CM 4.0(1)
Install CM 4.0(2a) patch
Install CM 4.1(2) patch
I also found that one of the steps, I think the 4.0(2a) patch, likes it if you leave a cd in the drive. I just leave the CM install CD in there.
I haven't tried the 4.1(3) update yet as the docs insist that 1gb of ram is required. Seeing as how I'm having sub-optimal performance on systems running 256mb of ram, I'd rather not push it at this point. When I can get a system closer to 1gb I'll try upgrading it.