got a call yesterday
thanks to Jason it seems there is a solution on this. In my (maybe special) case I use a Linux / SAMBA / LAMP testing server in a LAN environment. And if you use a site definition like
\\testing.server\path_to\project.directory
it seems that Preview in the Wizard (Step 2) cannot work. So we changed it to
W:\project.directory
using network drives in Windows (ver7/64) and it works fine now. No idea why this makes a difference but so it was.
Thanks again, Jason for your time and pointing in the right direction.