I just upgraded to 4.5 and tried installing the media module. It errored out.   This is a new site with only the orginal data on it minus modules I deleted. (new host, came loaded with 4.4.1).  To be sure it wasnt the install I loaded several other modules all without problem.  I turned log error on and this is what the event viewer had

ModuleId: 371
ModuleDefId: 106
FriendlyName: test
ModuleControlSource: DesktopModules/Media/MediaModule.ascx
AssemblyVersion: 04.05.00
PortalID: 0
PortalName: Chickensplus
UserID: 1
UserName: markp
ActiveTabID: 36
ActiveTabName: Home
RawURL: /dotnetnuke/Home/tabid/36/Default.aspx
AbsoluteURL: /dotnetnuke/Default.aspx
AbsoluteURLReferrer: http://www.chickensplus.com/dotnetnuke/Home/tabid/36/Default.aspx
UserAgent: Mozilla/4.0 (compatible; MSIE 7.0; Windows NT 5.1; InfoPath.1; .NET CLR 2.0.50727)
DefaultDataProvider: DotNetNuke.Data.SqlDataProvider, DotNetNuke.SqlDataProvider
ExceptionGUID: 8abbb566-4629-4066-8bf9-3cce7de7bba5
InnerException: An error has occurred while establishing a connection to the server. When connecting to SQL Server 2005, this failure may be caused by the fact that under the default settings SQL Server does not allow remote connections. (provider: SQL Network Interfaces, error: 26 - Error Locating Server/Instance Specified)
FileName:
FileLineNumber: 0
FileColumnNumber: 0
Method: System.Data.SqlClient.SqlInternalConnection.OnError
StackTrace:
Message: DotNetNuke.Services.Exceptions.ModuleLoadException: An error has occurred while establishing a connection to the server. When connecting to SQL Server 2005, this failure may be caused by the fact that under the default settings SQL Server does not allow remote connections. (provider: SQL Network Interfaces, error: 26 - Error Locating Server/Instance Specified) ---> System.Data.SqlClient.SqlException: An error has occurred while establishing a connection to the server. When connecting to SQL Server 2005, this failure may be caused by the fact that under the default settings SQL Server does not allow remote connections. (provider: SQL Network Interfaces, error: 26 - Error Locating Server/Instance Specified)at System.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection)at System.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj)at System.Data.SqlClient.TdsParser.Connect(Boolean& useFailoverPartner, Boolean& failoverDemandDone, String host, String failoverPartner, String protocol, SqlInternalConnectionTds connHandler, Int64 timerExpire, Boolean encrypt, Boolean trustServerCert, Boolean integratedSecurity, SqlConnection owningObject, Boolean aliasLookup)at System.Data.SqlClient.SqlInternalConnectionTds.OpenLoginEnlist(SqlConnection owningObject, SqlConnectionString connectionOptions, String newPassword, Boolean redirectedUserInstance)at System.Data.SqlClient.SqlInternalConnectionTds..ctor(DbConnectionPoolIdentity identity, SqlConnectionString connectionOptions, Object providerInfo, String newPassword, SqlConnection owningObject, Boolean redirectedUserInstance)at System.Data.SqlClient.SqlConnectionFactory.CreateConnection(DbConnectionOptions options, Object poolGroupProviderInfo, DbConnectionPool pool, DbConnection owningConnection)at System.Data.ProviderBase.DbConnectionFactory.CreatePooledConnection(DbConnection owningConnection, DbConnectionPool pool, DbConnectionOptions options)at System.Data.ProviderBase.DbConnectionPool.CreateObject(DbConnection owningObject)at System.Data.ProviderBase.DbConnectionPool.UserCreateRequest(DbConnection owningObject)at System.Data.ProviderBase.DbConnectionPool.GetConnection(DbConnection owningObject)at System.Data.ProviderBase.DbConnectionFactory.GetConnection(DbConnection owningConnection)at System.Data.ProviderBase.DbConnectionClosed.OpenConnection(DbConnection outerConnection, DbConnectionFactory connectionFactory)at System.Data.SqlClient.SqlConnection.Open()at Microsoft.ApplicationBlocks.Data.SqlHelperParameterCache.DiscoverSpParameterSet(SqlConnection connection, String spName, Boolean includeReturnValueParameter, Object[] parameterValues)at Microsoft.ApplicationBlocks.Data.SqlHelperParameterCache.GetSpParameterSetInternal(SqlConnection connection, String spName, Boolean includeReturnValueParameter)at Microsoft.ApplicationBlocks.Data.SqlHelperParameterCache.GetSpParameterSet(String connectionString, String spName, Boolean includeReturnValueParameter)at Microsoft.ApplicationBlocks.Data.SqlHelperParameterCache.GetSpParameterSet(String connectionString, String spName)at Microsoft.ApplicationBlocks.Data.SqlHelper.ExecuteReader(String connectionString, String spName, Object[] parameterValues)at DotNetNuke.Modules.Media.SqlDataProvider.GetMedia(Int32 moduleId)at DotNetNuke.Modules.Media.MediaController.GetMedia(Int32 moduleID)at DotNetNuke.Modules.Media.MediaModule.Page_Load(Object sender, EventArgs e)--- End of inner exception stack trace ---
Source:
Server Name:
I  hope this helps.

I also received this error immediately after upgrading the DNN version.  In my case, I had replaced the SQL connection string in the connectionSettings section of the web.config. file, but I had missed the connection string just below that in the appSettings section.  Once I replaced that connection string, media worked fine.  While this may not apply in your case, it may be a reminder to others who see this error after an upgrade.