<p>I am implementing a quite simple state-machine order processing application. It is a e-commerce application with a few twists. The users of the application will not be editing workflows by themselves.</p>

<p>Microsoft claims that asp.net and Windows Workflow is possible to combine. How hard is it to install and maintain a combination of asp.net and Windows Workflow? I would be keeping the workflow state in sql-server.</p>

<p>Is it easier for me to roll my own state machine code or is Windows Workflow the right tool for the job? </p>

If your state machine is very simple, then I would say that you should just roll your own.  You have more control over everything.  You can deal with persistence on your own terms and not worry about how they do it.
WF does look pretty cool though, but I think that it's power probably lies in the fact that it is easy to tie it into frameworks like CRM and Sharepoint.  If you are going to use these in your application, then I would definitely consider using WF.
Full disclosure:  I am definitely not a WF expert.