Hi,
That means the error is happening before any error handler can get to it. If you have accesws to the Event Viewer on the machine you could probably get the error message and that would provide a clue to the problem.
Make sure the IIS user has read permission on the entire web and has write/modify permission on the /Data folder.
I would make sure the site is configured for 2.0 .NET and not 1.1. and probably you are hosted in Medium Trust so maybe the steps for medium trust configuration will help.
Hope it helps,
Joe