Cannot find the user '', because it does not exist or you do not have permission

I am trying to add permissions to a Store procedure for a user using this query,

USE [MyDatabaseName]
GO

GRANT EXEC ON [dbo].[StoreProcedureName] TO [UserName]
GO

I can give permissions to user through theUser Interface but using this query I get this error,

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

If I don't have permissions then how can I add permissions using User Interface.