The account "dnn_user" has a login, but in the database is mapped to the dbo user. Thus there is no dnn_user database user.
When upgraded from 5.02.00 to 5.02.01, I got this error
System.Data.SqlClient.SqlException: Cannot find the user 'dnn_user', because it does not exist or you do not have permission.
at System.Data.SqlClient.SqlConnection.OnError(SqlException exception, Boolean breakConnection)
at System.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj)
at System.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj)
at System.Data.SqlClient.SqlCommand.RunExecuteNonQueryTds(String methodName, Boolean async)
at System.Data.SqlClient.SqlCommand.InternalExecuteNonQuery(DbAsyncResult result, String methodName, Boolean sendToPipe)
at System.Data.SqlClient.SqlCommand.ExecuteNonQuery()
at Microsoft.ApplicationBlocks.Data.SqlHelper.ExecuteNonQuery(SqlConnection connection, CommandType commandType, String commandText, SqlParameter[] commandParameters)
at Microsoft.ApplicationBlocks.Data.SqlHelper.ExecuteNonQuery(String connectionString, CommandType commandType, String commandText, SqlParameter[] commandParameters)
at Microsoft.ApplicationBlocks.Data.SqlHelper.ExecuteNonQuery(String connectionString, CommandType commandType, String commandText)
at DotNetNuke.Data.SqlDataProvider.GrantStoredProceduresPermission(String Permission, String LoginOrRole)
GRANT EXECUTE TO [dnn_user]
though the site seems fine with no errrors. On my laptop with Windows 7 pro, SQL Server 2005