I have heard of this problem from several of my customers, and ran across this post the other day from Scott Densmore. Apparently its a permission problem - EntLib/Intrumentation is trying to get access to a registry key that ASP.Net does not have native access to. Its a fairly simple workaround and seems to do the trick.
Details (from the long post linked off of Scott's blog):
Could you show me exactly what this configuration looks like in web.config?
Does this look right:
<add key="Microsoft.Practices.EnterpriseLibrary.Configuration.ConfigurationManager.ApplicationName" value="TESTNAME" />