The first thing to check is that the SharePoint site is browsable using that url on the server. If you get repeated credentials, you may need to configure the BackConnectionHostnames or DisableLoopbackCheck value.
The Microsoft KB article describes the steps: http://support.microsoft.com/kb/896861
The IP resolved by pinging the hostheader should be a local ip address or the loopback adapter (127.0.0.1). If it resolves to a load balancer, it will be treated as a machine hop and fail the connection during installation.