My local development machine is littered with 100+ Sitefinity web sites. In order to test & explore new features I'm constantly creating yet another Sitefinity web site.
In my case, I don't use the site templates or project manager. Instead, I want something bare-bones and basic that I can play with and customize.
In this blog post I'll detail the installation procedure I use to make this happen.
My Approach to Creating a New Sitefinity Web Site
I use Blank Project for most of my Sitefinity installations. Go to the Downloads section of Sitefinity and download the BlankProject.zip.
Blank Project is a zip file that contains a bare-bones Sitefinity web site. There is no project manager and the themes are not included. You'll start with an empty Sitefinity web site.
Unzip these files into a folder of your choosing:

Load Visual Studio or Visual Web Developer by right-clicking and selecting Run as Administrator. (I cannot overstate the "Run as administrator" step enough; without doing this you will probably get a "HTTP Error 403 - Forbidden" error.)
Open this Web site folder in Visual Studio by clicking File -> Open Web Site
After the web site is loaded, right-click on the Sitefinity folder and click View in Browser.

Sitefinity's Project Startup wizard will now load in your web browser.
Project Startup - Setup Sitefinity
The Startup Wizard will guide you through the initial Sitefinity setup.
For my local test scenario, I select SqlExpress. Using SqlExpress causes Sitefinity to create & use a local database file stored in the ~/App_Data directory. With this method, there is no hostname or login settings. This is the easiest way to setup Sitefinity.

You can use other database servers but you'll be limited by any network, firewall or connectivity issues that might exist. In addition, you'll be limited by any security permissions applied to the database server. I recommend testing your database connection outside of Sitefinity if you encounter problems.
Where do we go from here?
At this point we have an empty, but functional, Sitefinity web site. This web site running on our local machine using Visual Studio's ASP.NET Development Server. We can use this development environment to create new pages, templates, themes, controls, etc, etc.
Watch the Designing with Sitefinity webinar for a walkthrough of some of these steps.