From: Microsoft SharePoint Products and Technologies Team Blog
Starting from Service Pack 2, Windows SharePoint Services 3.0 and SharePoint Server 2007 support Windows Server 2008 R2 and Windows Server 2008 SP2. When you try to install SharePoint bits on Windows Server 2008 R2 directly, you may see the following dialogue:
This is because Windows SharePoint Services 3.0 and SharePoint Server 2007 bits without SP2 slipstreamed are not supported on Windows Server 2008 R2. The KB article 962935 is not live on the web site yet.
To install on Windows Server 2008 R2, for Windows SharePoint Services 3.0 you can download the slipstream builds here:
Windows SharePoint Services 3.0 with SP2 (x86)
Windows SharePoint Services 3.0 with SP2 (x64)
For SharePoint Server 2007, you can follow Create an installation source that includes software updates (Office SharePoint Server 2007) to create one. Or you can also read on, we will go through the complete steps to create a new slipstream build for SharePoint Server 2007.
1. Copy the content of SharePoint Server 2007 setup files from the installation media to a folder on your hard drive.
2. Delete everything inside Updates folder.
Make sure your Office SharePoint Server 2007 SP2 is downloaded after July 29th.
4. Open a command prompt, change directory to the folder you put the downloaded patches, and run the following two commands:
wssv3sp2-kb953338-x64-fullfile-en-us.exe /extract:[Path to installation bits]\Updates /quiet
officeserver2007sp2-kb953334-x64-fullfile-en-us.exe /extract: [Path to installation bits]\Updates /quiet
Change [Path to installation bits] to where you put the bits. These will extract all the content from the two packages to Updates folder. SharePoint installation program will automatically read this folder to apply the patches.
5. Delete wsssetup.dll. This is a very important step so please don’t miss it.
6. If you also need the Cumulative Updates to be applied when install SharePoint, download the latest Windows SharePoint Services 3.0 and SharePoint Server 2007 Cumulative Update packages and extract them into Updates folder like step 4.
7. Your slipstream build of SharePoint Server 2007 is done!
8. Go and install it on your Windows Server 2008 R2 box, after the installation, the site version will show 126.96.36.19921 or possibly a higher version if you added additional cumulative update files.