Usually it says:
Login failed : Authentication error.
The login result doesn't work in 2.5, I've already submitted a ticket @ mxdn, so this will not work, but in firebug (press F12 in IE8 for the developer toolbar) you should see the result of your request. If your credentials are really wrong you should see an 401 error in the Net tab.
You're sure you are signing in with MxAdmin and the password you've set?
Usually it says:
Login failed : Authentication error.
When no message shows up, i guess the server is not running or cannot be contacted (the login screen itself can often be loaded from the cache). You can open firebug (if installed, it is a firefox plug-in) and check the NET tab to verify that the server was contacted. Further more authentication failures should be logged in the application log/ console. If nothing shows up there, it is pretty sure no credentials reached the server at all. Do proper logins work?
Yup, confirmed on my machine: bug.