I noticed a few people seem to be confused about setting up and getting RMS working properly. For starters if you are using shared hosting (generally the cheaper $5-$10 price range ones) then most likely you will not be able to install your own RMS.
In order to install and run your own RMS you will need a VPS or Dedicated server with full root access and privileges.
RMS consumes a lot of server resources and even if it was possible to install it on a shared host they wouldn't let you due to the additional load on the server, which would affect their other customers too much.
You can easily use a 3rd party RMS service provider. That way you can use your current shared host, along with the RMS provider without having to upgrade to VPS or a Dedicated server.
Since Dolphin 7 and RMS are still in RC status, some 3rd party RMS providers may not work yet. Many hosts and RMS providers do not upgrade their servers until stable releases come out.
Bottom line is if you want to install and run RMS on your own server you will need a VPS or Dedicated server with the rights and permissions necessary to install it.
Otherwise you will need to go with a 3rd party that can provide the RMS service portion. Which is less work and maintenance, and generally much cheaper.
You can find more information about Hosting and RMS Providers here:
More Dolphin Hosting & RMS Providers
Which also includes a web hosts that provide access to RMS (Media Server) in the monthly price.