I recently ran into the same problem. Originally, I tried to import ZIPs for a state to mappoint and then use QueryShape() to query ZIPs within a radius. To minimize the overhead of importing, a mappoint file was created with a built-in demo data displayed. However, when applying QueryShape() to such a map, an access denied exception was thrown. After a quick search, the following explanation shows the differences between a default demo data and imported data:

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excerpt from MapPoint 2006 help file
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Using MapPoint demographic data
MapPoint gives you access to its built-in demographic data through the DataSet object. However, there are some differences between a demographic data set and one that you have imported or linked to. First, you access a demographic data set differently than you do an external data set. You use the GetDemographics method to create a new demographic data set, as in the following code.
Set objDemoDataSet = objDataSets.GetDemographicsThis code creates a data set that you can use to query the field information or create a data map on. However, you cannot query any of the records of a demographics data set. Calling any of the query methods will fail. Also, because this data set has no representation on the map, it is not part of the DataSets collection, although you do use the DataSets collection to create it. If you then create a data map, the demographic data set will appear in the DataSets collection. You can create as many demographic data sets as you need.
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In short, imported data is different from the default demo data. In order to make the default demo act like an imported one, the following procedure is applied:

1. Create a MapPoint file and display a built-in demo data, say Area in Square Miles. Save it as zip_template.ptm.

2. Draw a huge radius (or rectangle) shape to cove the entire U.S. and export all the data to an excel file, namely zip.xls.

3. Create another new MapPoint file and import zip.xls. Name the file as zip.ptm.

With these being done, even though zip.ptm and zip_template.ptm look the same, they are fundamentally different in a sense that QueryShape() can be applied to zip.ptm but cannot to zip_template.ptm.