project server 2010 needs to run on top of sharepoint 2010 enterprise. you can supposedly install project server 2010 as a stand-alone instance, but even when doing so, it is installing sharepoint 2010 components underneath it. i haven’t tried this myself.

anyways, microsoft docs say such a setup wouldn’t be production worthy.

this site tells you everything you need to know to get project server 2010 up in running (in text and video format): http://technet.microsoft.com/en-us/library/cc197479

update 8/29/2012:
evidently project server needs to be installed on every single app and web server in a sharepoint farm. info here: http://technet.microsoft.com/en-us/library/ff686783.aspx

link to administrator’s guide: http://blogs.technet.com/b/epmcontent/archive/2011/02/28/project-server-2010-adminstrator-s-guide-now-available.aspx

also the secure store service needs to be configured for parts of project server reporting to function, info here:
http://technet.microsoft.com/en-us/library/ee806866.aspx