Even if you set the CustomErrors to Off, if the ASP.Net account does not have list permissions on the subdirectories it will not display debugging information. I just ran into this problem this week, I had the machine.config and web.config set up to display errors, but the application did not display any errors, just the message telling me to change the web.config file. Once I gave the ASP.Net account permissions everything worked fine.
WWWCoder.comRedmond GadgetsMy Weblog