After install libidn, I ran the install again and got a few file permission errors. The install_log explain it all.
After fixing file permission, I tried to hit mysite.com/admin and got file not found errors. Paul explained to me I was missing PEAR libraries and explained how to install them:
pear install FILE_NAME
I had to install:
File
File_Find
Net_URL
Net_Socket
HTTP_Request
HTTP_Client
Hit mysite/admin again and everything is working great.