The Sitecore 5.2.0.1 package contains a file called PrecompiledApp.config, located in the root-folder. Because of this little nasty bugger, you receive this Server Error if you try to add your own class to the solution:

Server Error in '/' Application.

The directory '/App_Code/' is not allowed because the application is precompiled.

Description: An unhandled exception occurred during the execution of the current web request. Please review the stack trace for more information about the error and where it originated in the code.

(Click image to zoom)

I tried all sorts of things to fix it, but ended up contacting Runi from Sitecore. He replied that I should hust remove the PrecompiledApp.config file - and voila! it worked...