MOSS: Self-service Site Creation is not available because there is no inclusion defined

Problem:
When you have defined that you want to Create new site collections from Site Directory and you try to create a new site you get the error: "Self-service Site Creation is not available because there is no inclusion defined." You have enabled Self-Service Site Creation in Central Management Site.

Solution:
You don't have a path with wildcard inclusion in "Central Administration > Application Management > Define Managed Paths". Add one path with wildcard inclusion and you're all set. This requirement is also mentioned in TechNet.