I've had this before when there was a problem connecting to the database.
(sits at 35% for a long time, then either stays there or stops and tells you the DB has been set up....but then there are no table)

1. Check your database connection values.
   If you want, select "I know my connection string" option (at the bottom) and specify your own connection string, such as:
   server=localhost;database=myUmbracoDatabase;user id=umbracoAdmin;password=PA55W0RD
   
2. Double check that your database exists, your user exists and that your user has priviledges to create tables in the DB.
3. Try restarting (?)