I went through the install process, everything is fine.
I get taken to the following URL: http://www.example.com/blog/wp-admin/setup-config.php?step=2
From there I clicked the "Run the install" button, which takes me to the following URL: http://www.devotedmedia.com/blog/wp-admin/install.php
However, on that page, this is the error that I get:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml" dir="ltr" xml:lang="en-US">
<meta http-equiv="Content-Type" content="text/html; charset=utf-8" />
<title>WordPress › Installation</title>
<b>Fatal error</b>: Call to undefined function wp_kses_bad_protocol() in <b>/home/user/public_html/blog/wp-includes/formatting.php</b> on line <b>1168</b>
The solution I found to this was that the file "kses.php" hadn't uploaded correctly, and was in fact 0 bytes. Re-uploading this file solved the problem.