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Installing SQL Server 2008 or SQL Server 2005. Why is it not recommended to install on a Domain Controller?

I am getting the following error when I try to setup the full version of SQL Server 2008 or SQL Server 2005. See Image.

Why can I not do this. I am trying to setup Microsoft CRM. Why is this not good and what are the consequences if I do it anyway? I need to get CRM installed on this machine. How can I complete this task. Please advise. Thank you.
SQLServer2008Setup.png
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Fortunately, our data is not trade secrets. It is literally a roledex of sorts for our customers to share and people to maintain as people change within the organizations we work with. It is our Christmas List as well. About the worse anyone could do is take information and bug our customers.  They could do that by looking in the phone book easier. Our customers are known and the contacts no big secret.

However when you say security MPDeveloper. That worries me a bit.

Can I do this safely so that it will not be a risk or this that impossible? Are you implying someone could hack us and destroy other things?

Run separate SQL Server services under separate Windows accounts.  How can I do that?

In a  multitier environment, run Web logic and business logic on separate  computers. Where do I get these?

Please advise and thank you for your efforts.
For your knowledge also 5-6 people using the database in total. The chances of 2 people being in their at the same time would be rare.
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MPDeveloper:
QPR:
lost_enigma:
Brichsoft:

SO if I need to go ahead with the install. I am an Administrator, (part of the admin group) I am not "The Administrator".
Talking about all this stuff and not being a Microsoft Engineer.
If I install this under my admin account. "My Name" then will everyone be able to access this internally and preferably externally from a browser?
Once installed I need to go to the Services Section and change these somehow to allow both internal and external users to be able to access the CRM which will use SQL Server 2008 accessing a Windows 2008 Server?
Am I on the right course her and step by steps or videos helpful?  I am ignorant in some of these matters.
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That certainly helped thank you.