So, step to reproduce: unzip 4.1 on Windows 7, create virtual application in IIS, open in browser:

Server Error in '/Kentico-4.1' Application.
Security Exception
Description: The application attempted to perform an operation not allowed by the security policy. To grant this application the required permission please contact your system administrator or change the application's trust level in the configuration file.

Exception Details: System.Security.SecurityException: Request for the permission of type 'System.Web.AspNetHostingPermission, System, Version=2.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089' failed.

Source Error:

An unhandled exception was generated during the execution of the current web request. Information regarding the origin and location of the exception can be identified using the exception stack trace below.

Stack Trace:

[SecurityException: Request for the permission of type 'System.Web.AspNetHostingPermission, System, Version=2.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089' failed.]
System.Reflection.Assembly._GetExportedTypes() +0
System.Web.Compilation.BuildResultMainCodeAssembly.FindAppInitializeMethod() +41
System.Web.Compilation.CodeDirectoryCompiler.GetCodeDirectoryAssembly(VirtualPath virtualDir, CodeDirectoryType dirType, String assemblyName, StringSet excludedSubdirectories, Boolean isDirectoryAllowed) +11194794
System.Web.Compilation.BuildManager.CompileCodeDirectory(VirtualPath virtualDir, CodeDirectoryType dirType, String assemblyName, StringSet excludedSubdirectories) +185
System.Web.Compilation.BuildManager.CompileCodeDirectories() +654
System.Web.Compilation.BuildManager.EnsureTopLevelFilesCompiled() +658