TIP - get INTERNET TV: if you're outside the U.S., you normally can't get Internet TV on Media Center, but there's a trick
Ideally, you should have installed Windows with Language and Region set to "U.S.", and have your Regional Settings (all of them: "Format", "Location" and "System Locale") still set like that when starting Media Center for the first time and running Express Setup.
If you didn't install Windows as "U.S.", you must also copy those settings to the System and Default Accounts. After that, you can do the Express setup. You'll be able to install Internet TV, either immediately, or wait 15 minutes, then quit and restart MCE a few times. If it asks you about placing an Internet TV gadget on your desktop, you've got Internet TV.
Cause for the regional snafu: the updater process which downloads the Internet TV components, "mcupdate.exe", runs under the "NetworkService" account, but only gets Internet TV if that account's regional settings are set to "United States". You can't access them directly; that's why you need to set your system defaults to United States, and copy all settings to all system accounts using the Regional Settings control panel, Administrative tab, "Copy Settings" button.
If you're set to e.g. Dutch, French, German... regional settings, you won't get the option, as Internet TV is only for American (and possibly British too ? not sure..) customers. Thankfully Microsoft doesn't do IP checks for this. Some hints as to what can be done are found in this KB article.
If it doesn't work, or if you had already done the MCE Setup with the wrong regional settings, you can try the following to fix the problem:
Stop the Windows Media Center Scheduler Service and Receiver Service, if they're running
Delete everything in the folders "C:\ProgramData\Microsoft\Ehome" and "C:\Users\<username>\Appdata\Local\Microsoft\Ehome"
Go to Control Panel, Regional and Language Options
Set the Formats, Location, and System Locale (in the Administrative Tab) to "United States" or "English (United States)"
Click the "Copy settings" button, and copy the settings to all accounts (Welcome Screen and System Accounts + New User Accounts)
The system will ask you to reboot if you change the System Locale - do it.
Start Media Center, do the Express Setup
Wait for about 15 minutes
Execute the following in a DOS command prompt (with User Account Control disabled, of course) [note: sometimes this step isn't necessary]:
cd \
cd c:\Windows\ehome
mcupdate -uf –nogc
If McUpdate then crashes: run the following:
mcupdate -uf
Exit Media Center, and start it again: hopefully it will now ask you if you want to place an Internet TV Gadget on your desktop, in which case it's worked.