This can be caused by the "loopback check" security feature of Windows Server. If you are mapping different names to the localhost interface, which is a common enough technique for single server test set-ups, you will need to make registry entries before you can connect using these names. (Note: this will only be a problem if you are connecting from the server itself. Connections from off the box should work fine if this is indeed what is going on.)
This article explains what you need to do.