If you are getting the named pipes provider error, you have a configuration issue, which is unrelated to the Commerce Site install.
CSK2 installs and runs on WH4L, although they don't have the installer built into their list of applications (they only have CSK1). To get it running, set up your default application / domain, running under ASP.NET 2.0, make sure NETWORK SERVICE has Read/Write/Modify, and all of your typical setup for any site. Make sure your blank database is created (you should have to create a user which will be db_owner), and you have your username/password on hand for your account). Finally, FTP the unzipped commerce site to your WH4L site (contents of Commerce.Web should be uploaded into site1).
Pull up your site in a browser, and if your site is properly configured, you should be redirected to the commerce site install screen, where you'll enter your SQL username, password, and database server, select the database, and continue with the install. The install will run install scripts in the database (so your database permissions need to be correct) and modify your web.config (so your file permissions need to be correct).