This guide applies to the ASPNIX.com Shared Hosting, but can be used as a example for others hosting solutions.

The settings for the Shared Hosting of ASPNIX goes like this:

ASP.NET Version: v2.0 (including 3.0, 3.5)
PHP Version: Not Installed
ASP Classic Version: Not Installed
Server Side Include Version: Not Installed
Perl Version: Not Installed
Python Version: Not Installed
CGI-BIN: Not Installed

OFF | Parent Paths
OFF | Directory Browsing
ON | Website Write Permissions
ON | Network Service/ASPNET Write Permissions
ON | ASP.NET 2.0 Full Trust

Created a SQL 2008 database. Added a user for that database.
I created a subdomain, and is cms.domainname.com. The hosting system automatically creates a local folder "cms" on the root of the wwwroot. So i think no need to create virtual directory.
I installed KenticoCMS on my local machine, and used the Web Installer. .Net 3.5 on a remote server is the option i choose. Uploaded all the files on ftp://domainname.com/cms.
The root remains empty of files. Only the CMS folder is filled with KenticoCMS files.
Went to domainname.com and begun the installation process. Since the SQL Server 2008 Database resides on a differet server, a different ip is needed.
The installation wizard ask for a free license key. (Go to my account on kentico.com and click on Free Lincense Keys) Copy and paste all.
Remember: Generate the website damain name, not the cms.domainname.com, because is not needed.
Choose the template to use. I like the Corporate Site ASPX.

NOTE: The remote installation will have some delays, like when the installation begins in self , when the sql instructions are loaded on the database, when the license key is procesed or when importing the needed files for the selected template. So be patience.

Enjoy