I honestly can't remember where I seen this, probably in the Microsoft KB's but I'm pretty sure there are some settings changes that need to be made to Sharepoint Services when you install ASP .Net 2.0.  Specificly problems that come up with web applications running under IIS 6.0

Now I also get another one:

Event Type: Information
Event Source: ASP.NET 2.0.50727.0
Event Category: Web Event
Event ID: 1315
Date:  4/11/2006
Time:  10:41:24 PM
User:  N/A
Computer: WEBSERVER
Description:
Event code: 4006
Event message: Membership credential verification failed.
Event time: 4/11/2006 10:41:24 PM
Event time (UTC): 4/11/2006 8:41:24 PM
Event ID: 2722bb54e47d468a8e78c3f19ba907f5
Event sequence: 4602
Event occurrence: 8
Event detail code: 0
 
Application information:
    Application domain: /LM/W3SVC/1697751234/Root-1-127892408058437500
    Trust level: Full
    Application Virtual Path: /
    Application Path: D:\Dotnetnuke\
    Machine name: WEBSERVER
 
Process information:
    Process ID: 2984
    Process name: w3wp.exe
    Account name: NT AUTHORITY\NETWORK SERVICE
 
Request information:
    Request URL: http://www.smallbizserver.net/Default.aspx?tabid=267
    Request path: /Default.aspx
    User host address: 81.179.91.54
    User: 
    Is authenticated: False
    Authentication Type: 
    Thread account name: NT AUTHORITY\NETWORK SERVICE
 
Name to authenticate: m
 
Custom event details:

For more information, see Help and Support Center at http://go.microsoft.com/fwlink/events.asp.

I use the SQL database in Mixed mode and I don't have an Active Directory on the server. I will read your link and see if something comes up. This never happened with .Net 1.1. One thing I noticed is that Windows Authentication in DNN throws an error when I try to configure that. The site was running on a domain controller in the past that holds all 5 roles and once I tried the Windows Authentication in DNN but dropped that again. Does that give you a clue?