You shouldn’t just copy the media/catalog folder before, but do the steps in this tutorial in order:
2.Load sample DB into database
5.Ensure you get to the configure database page. Magento will complain about un-writeable directories. chmod or chown these folders (app/etc, var, and media)
6.Only AFTER you get to the “configure database” page, copy the “media/catalog” from Magento sample data distribution into your magento media folder. Make sure to redo chmod or chown on media.
7.During configure, enable rewrites. (should be enabled on ALL Magento installations for basic SEO support)
8.After installation, edit .htaccess and edit RewriteBase if you’re not on root URI
If you do step #6 before installation, you’ll never reach step #5 !
This is probably a bug in Magento, but not a very serious issue.