You more than likely get this exception when you attempt to use the "My.Settings" object through ASP.Net. Settings scoped for the user are valid for WinForms or other such desktop applications which typically run under a particular user account, but ASP.Net accounts run, usually, under a special server or ASP.Net account - therefore this object will throw an exception when used in this context.

The best way around this is to use ConfigurationManager.AppSettings for settings, or Profiles for per-user configuration in ASP.Net 2.0.