if this is a fresh installation, you should start with LMS 4.1 (the current version); if you have yet purchased LMS 4.0 or LMS 4.0.1 check if you can upgrade to LMS 4.1 free of charge. If you have purchased a CON-SAS contract along with the software you definitely have the option and you just need to upgrade the license. LMS 4.1 does have native support for Windows 2008 R2.
LMS 4.0 and LMS 4.0.1 have support for Windows 2008 R2 only with a patch that can be downloaded from CCO. The support came a couple of month after the release of LMS 4.0.x - that's why you read different statements in the forum.
Here is a link to the doc:
http://www.cisco.com/en/US/docs/net_mgmt/ciscoworks_lan_management_solution/4.0/install/guide/instl.html#wp1616783
and the link to the patch:
http://www.cisco.com/cisco/software/release.html?mdfid=283434800&flowid=19062&os=Windows&softwareid=280775103&release=4.0&rellifecycle=&relind=AVAILABLE&reltype=all
and dont forget to check this document from Joe for a successfull installation on windows:
https://supportforums.cisco.com/docs/DOC-9132
