Você precisa habilitá-lo. Confira a seção Permissão dos documentos xp_cmdshell MSDN :
http://msdn.microsoft.com/en-us/library/ms190693 .aspx :
-- To allow advanced options to be changed.
EXEC sp_configure 'show advanced options', 1
GO
-- To update the currently configured value for advanced options.
RECONFIGURE
GO
-- To enable the feature.
EXEC sp_configure 'xp_cmdshell', 1
GO
-- To update the currently configured value for this feature.
RECONFIGURE
GO
