I battled with this for a while so maybe it'll help someone else at some stage.
I needed to setup SQL Session State version2 for ASP.Net 2, so after much battling I finally found the aspnet_regsql.exe file under C:\WINDOWS\Microsoft.NET\Framework\v2.0.50727 and after running the tool it STILL didn't work.
I kept getting the
"Please install ASP.NET Session State SQL Server version 2.0 or above" error. so after another 20min i got it right.
you need to open your command prompt and navigate to the above mentioned directory then execute the file with several paramters.
execute the following
aspnet_regsql -S serverName -U userName -P password -ssAdd
that will then setup version 2 of the sqlsession state server for ASP.Net 2