I had the same problem on OS X Lion. I haven't figured out what is wrong, so I used Homebrew. First, install Homebrew if you didn't:
$ ruby -e "$(curl -fsSL https://raw.github.com/mxcl/homebrew/go)"
Than run:
$ brew install pow
And follow these instructions:
$ sudo pow --install-system
$ pow --install-local
$ sudo launchctl load -w /Library/LaunchDaemons/cx.pow.firewall.plist
$ launchctl load -w ~/Library/LaunchAgents/cx.pow.powd.plist
Also, you always can install Pow from source.