There are a few simple steps to set up a build server, but I always forget how and where I found the answer on the few problems that always pops up.
Here are the steps for building .NET 3.5 web-projects on a Windows 2008 server (using NAnt and NUnit):
Install:
- NAnt
 - NUnit
 - NCover
 - NCoverExplorer (for fancy unit test coverage reports)
 - .NET 3.5 Framework SDK
 - CruiseControl.NET (or TeamCity)
 
Some special handling after installation:
- Open NAnt.exe.config and change the sdkInstallRoot value to a correct path.      
<readregistry property="sdkInstallRoot" key="SOFTWARE\Microsoft\Microsoft SDKs\Windows\v6.1\WinSDKNetFxTools\InstallationFolder" hive="LocalMachine" failonerror="false" /> - Create the C:\Program Files\MSBuild\Microsoft\VisualStudio\v9.0\WebApplications folder and copy the Microsoft.WebApplication.targets file from a computer with Visual Studio installed. (Used by Web Application Projects)