This is just to tell everyone that if you want to connect to SQL Server with the ApplicationPoolIdentity login, you can, but you can't use the user interface of SQL Management Studio.
You can do this only from script (like when you want to give access to this user to NTFS you can't do it from the explorer security tab).
CREATE LOGIN [IIS APPPOOL\mypool] FROM WINDOWS WITH DEFAULT_DATABASE=[master]
USE [mydatabase]
CREATE USER [IIS APPPOOL\mypool] FOR LOGIN [IIS APPPOOL\mypool]
So you can give the access right directly to this "virtual" user, withoug the need to use the impersonate=true setting in web.config.
We used it with SQL 2005 in Win2008 sp2 (not R2), with IIS 7.0
Hope it may help someone, because I took me a lot of time to find it !