USE myDB execute sp_grantdbaccess guestworks for me from QA (SQL Server 2000, sa login).
execute sp_grantdbaccess guest
I've also triedexecute sp_grantdbaccess guest, guest
and both version with single quites around the parameters. In all cases the command says it completes succesfully, but the guest user does not show up in EM or in the sysusers table.