Northwind Database Installation Error: Msg 2812, Level 16, State 62, Line 1 Could not find stored procedure 'U'

Based on the answer by Microsoft here it need to use alter database instead.

open the script and comment following 2 lines.

exec sp_dboption 'Northwind','trunc. log on chkpt.','true'
exec sp_dboption 'Northwind','select into/bulkcopy','true'

and then add the following line below that

alter database Northwind set recovery simple

so that it will look like this:

-- exec sp_dboption 'Northwind','trunc. log on chkpt.','true'
-- exec sp_dboption 'Northwind','select into/bulkcopy','true'
alter database Northwind set recovery simple