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AppInsight for SQL setup permissions errors

On the SQL server I want to monitor via AppInsight, I am supposed to run the following script to setup permissions. So I Opened MSQLS Management Studio, connected to the database (Sharepoint 2010, SQL 2008) and clicked "New Query" pasted the script and hit Execute. Nothing I have tweeked or changed has improved the outcome, any suggestions?

USE master

GRANT VIEW SERVER STATE TO AppInsightUser

GRANT VIEW ANY DEFINITION TO AppInsightUser

EXEC sp_adduser @loginame = 'AppInsightUser' ,@name_in_

db = 'AppInsightUser'

GRANT EXECUTE ON xp_readerrorlog TO AppInsightUser

USE msdb

EXEC sp_adduser @loginame = 'AppInsightUser' ,@name_in_

db = 'AppInsightUser'

EXEC sp_addrolemember N'db_datareader',

N'AppInsightUser'

EXECUTE sp_MSforeachdb 'USE [?]; EXEC sp_adduser

@loginame = ''AppInsightUser'', @name_in_db =

''AppInsightUser'''

THE FIRST TWO LINES OF THE ERROR:

Msg 15151, Level 16, State 1, Line 2

Cannot find the login 'AppInsightUser', because it does not exist or you do not have permission.