Today I installed CRM for the first time. According to MS it is supported on Windows Server 2012 but as always there are always extra steps to follow.
Firstly I installed SQL Server 2012 Standard as it will ask you to select an instance in the install. I downloaded the full CRM package and when I ran the install you can see the .exe’s running in the background but nothing happens.
I then found this awesome article on the Web and followed it to install CRM 2011 on Windows Server 2012 without any issues.
http://niiranen.eu/crm/2013/05/dynamics-crm-2011-on-windows-server-2012/
Hope it helps