Maybe it is helpfull to mention that the wordpress.com login is needed to get access to the stats. It would have been for me. It wouldn't be a big effort to add this to the installpage.
The first time I installed this plugin was maybe a year ago. When I wanted to check the blog stats I had to login which seemed very strange to me, just like tixrus. It looks almost identical to the dashboard login, although if you know where to look for the difference is subtle but obvious.
Back then I couldn't figure it out, I tried the forums but couldn't get a solution. I figured it was a bug with my setup and I removed the plugin.
Last weekend I upgraded to WP 2.5.1 and thought I would try the plugin again. But my first reaction was the same as before: "What is wrong with this thing?" And I disabled it. But it kept bugging me. So I tried the forums again, and I am thankful I've found this post :-)