I recently had to install a wordpress on a not yet existant url. Created the hosting and use my provider's proxy to prepare the site before changing the registrar's dns entries.
The install goes fine, the 5 min install ends, and then when I try to log-in, the browser tells me that cookies are not supported and that I should activate this option. Of course, they were already active at the time of log-in. Furthermore, strangely, I had no visible styling, just minimal html rendering.
I had a look at the db entries, and found a weird entry in table wp_options in the option_name column for the siteurl entry. I had:
(where "blog" was the name of the folder where I put the files on my hosting)
I intuitively replaced this by:
This solved the problem, styled the pages and allowed me to log-in. I had a look the the wp-advanced forum and didn't find anything similar. Since I can't post there, I post here. Hope this helps.