Björn,
This all depends if your FastCGI is running Apache as the user, or apache itself. These two are user accounts and require writing permissions to perform the installation.
I'm going to assume you're working with a standard installation and you've unzipped all the files in the htdocs/public_html/documentroot.
Always make sure the following folders (unfortunately by head, might be forgetting some) exist and are writable.
assets/components/
core/cache/
core/components/
core/import/
core/export/
core/packages/
core/config/ (or core/config/config.inc.php)
Try that as a first, and if your setup still returns a blank page, clean up core/cache/logs/error.log, rerun the setup again, hit the same blank page and post the contents of that error.log file in the forums.