My bad.  I just searched through my old posts because I know I've posted this before by my post history only goes back one year (hard-coded limitation in the Forum I wonder?).  Anyway... here is a sample pulled right out of production code (and formatted a little to fit).  Hopefully this will get you there.

 
DotNetNuke.Entities.Users.UserInfo info = new DotNetNuke.Entities.Users.UserInfo();
info.Profile.InitialiseProfile(portalId);
info.PortalID = 0;
info.Profile.PreferredLocale = "en-US";

info.Username = userName;
// set membership
info.Membership.Email = rec.Email;
info.Membership.Password = UserController.GeneratePassword(9);
info.Membership.Username = userName;
info.Email = rec.Email;
info.FirstName = rec.FirstName;
info.LastName = rec.LastName;
info.DisplayName = rec.DisplayNameFirstLast;

// set profile
info.Profile.FirstName = rec.FirstName;
info.Profile.LastName = rec.LastName;
info.Profile.SetProfileProperty("Date_of_Birth", rec.DateOfBirth.ToShortDateString());
info.Profile.SetProfileProperty("Seniority_Date", rec.HireDate.ToShortDateString());
info.Profile.SetProfileProperty("Cell", rec.Cell);
info.Profile.SetProfileProperty("Fax", rec.Fax);
info.Profile.SetProfileProperty("Work_Phone", rec.WorkPhone);
info.Profile.SetProfileProperty("Other_Phone", rec.OtherPhone);

DotNetNuke.Security.Membership.UserCreateStatus crStat = UserController.CreateUser(ref info);
if (crStat == DotNetNuke.Security.Membership.UserCreateStatus.Success)
{
	result.ImportStatus = ImportStatus.UserCreated;
	messages.Add("Employee: " + info.DisplayName + " created.");
}
else if (crStat == DotNetNuke.Security.Membership.UserCreateStatus.DuplicateEmail || 
crStat == DotNetNuke.Security.Membership.UserCreateStatus.DuplicateUserName)
{
	result.ImportStatus = ImportStatus.Error;
	messages.Add("Employee: " + info.DisplayName + " not created, has duplicate email already in system.");
}
else if (crStat == DotNetNuke.Security.Membership.UserCreateStatus.UsernameAlreadyExists)
{
	result.ImportStatus = ImportStatus.Error;
	messages.Add("Employee: " + info.DisplayName + " not created, username already exists for other employee.");
}
else
{
	result.ImportStatus = ImportStatus.Error;
	messages.Add("Employee: " + info.DisplayName + " not created, other error.");
}

Way close.  You were missing setting the portalID for the user and setting the "Membership" fields.  I'd check your database and see if it created them at all but it probably didn't.  You need to check the crStat for what status came back, either an error or success.  Here is a modified copy of what you posted:

//Retreive firstname, lastname and compile it into a no spaces user/displayname
string fName = Replace_Spaces(txtFirstName.Text);
string lName = Replace_Spaces(txtLastName.Text);
string uName = fName + "." + lName;
if (uName.Length > 50) { uName.Remove(50); }

//Add user first
DotNetNuke.Entities.Users.UserInfo info = new DotNetNuke.Entities.Users.UserInfo();
info.Profile.InitialiseProfile(this.PortalId);
info.PortalID = this.PortalId; // JTS added
//info.Profile.PreferredLocale = "en-US"; // JTS added; not required so I commented out
info.DisplayName = uName;
info.Username = uName;
info.Email = txtEmail.Text;
info.FirstName = txtFirstName.Text;
info.LastName = txtLastName.Text;
// JTS added; need to set the membership data as well
info.Membership.Email = txtEmail.Text;
// you can generate length of any size you want, i just added 
// 10 for the heck of it; you'd probably want to prompt them
// for a password though
info.Membership.Password = DotNetNuke.Entities.Users.UserController.GeneratePassword(10);
info.Membership.Username = uName;

info.Profile.FirstName = fName;
info.Profile.LastName = lName;
info.Profile.SetProfileProperty("Installation_ID", txtInstallID.Text);
info.Profile.SetProfileProperty("Company_Name", txtCompanyName.Text);

DotNetNuke.Security.Membership.UserCreateStatus crStat = UserController.CreateUser(ref info);
if (crStat == DotNetNuke.Security.Membership.UserCreateStatus.Success)
{
 // TODO: some logic that shows they successfully created their user
}
// TODO: else, maybe check the other statuses from the 
// enum and display messages appropriately
//else if crStat == DotNetNuke.Security.Membership.UserCreateStatus.DuplicateEmail) { }