If you use the inbuilt ASP.NET user accounts (ASPNET on windows XP, network service on windows 2003) everything seems to work OK with enterprise library.
If you try and impersonate another windows account instead you end up with lots of registry entries along the lines of:
Failed to create instances of performance counter '# of Connections Opened/Sec' - Couldn't get process information from remote machine..
or
Access Denied - the current user does not have permission to perform the action.
Failed to fire the WMI event 'DataConnectionOpenedEvent'.
The solution for Windows 2003 at least is to add your impersonated user account to the following groups on the web server:
- Performance Log Users
- IIS_WPG