Okay. I connected my SATA hard disk and also changed the VGA cable, one camera was connected. Everything worked perfect, mouse was detected and wizard came up in the beginning. So I am guessing it's the hard disk that made the difference. Surprisingly in the first DVR I received I had connected the hard disk (but no camera) and the mouse was not detected, I had to send it back for replacement.
So in summary, we seem to need all the components connected.
Thanks everyone.