Have you checked the value of your uiUrl and utilUrl attributes in the <site> section in web.config? If these include localhost as hostname in the path you will not be able to access the ui on other hostnames. You can use a relative address like "~/cms/" to make it work on all hostnames.
You might have a problem with loopback in IE if you're authenticating with your windows account.
Have you tried it with FireFox or Chrome?
If it works in any other browser than IE, then it's likely the loopback that's causing this error.
Here's a post on how to resolve the problem: http://blog.bergdaniel.se/post/You-are-not-authorized-to-view-this-page-in-IE-but-works-fine-in-FireFox!.aspx
I've setup an development environment (CMS 5 R2) on my local computer (Vista). Everything works fine if I use "localhost" as host, but if I use my machinename instead, I cannot login. Nothing happens. Also, if I to enter worng password, I'll get an errormessage (Log in failed...). So, the system can validate my username and password, but nothing else.