This is how I do it.  I have already setup a user in DNN, which is just my user for allowing me lo be logged in:

username: MyUserName
passwoed: MyPassword

#HACK:

Private Sub LoginDNN(u As String, p As String)
            Dim loginStatus As UserLoginStatus = UserLoginStatus.LOGIN_FAILURE
            Dim objUser As UserInfo = UserController.ValidateUser(PortalId, u, p, "DNN", PortalSettings.PortalName, ip, loginStatus)            ' check for lead cookies and other items for history logging
            If loginStatus = UserLoginStatus.LOGIN_SUCCESS Then
                ' success
                UserController.UserLogin(Me.PortalId, objUser, PortalSettings.PortalName, Me.Request.UserHostAddress, False)
            End If
End Sub

' call the Sub with pre-made credentials if they are authed externally

If AlreadyAuthed then
            LoginDNN("MyUserName", "MyPassword")
End If