I noticed something simliar to that used to happen to me when testing it on VMware. It would hang on installing Network Connections until I moved the mouse. I'm pretty sure it has to do with the mode unattended is in. (Full, etc.)
After messing around with nLite and compiling and recompiling CDs and testing them on a VM, with Windows Media Player slipstreamed like said in the FAQ of nLite, the Internet doesn't work.