By default, xp_cmdshell is disabled in SQL Server 2005 for security reasons.  We are currently using xp_cmdshell in tsql scripts to build prediction data, so I must enable xp_cmdshell on my SQL Server 2005 instances.  There are two ways to enable this option: Surface Area Configuration tool or sp_configure.  Enabling this option via Surface Area Configuration tool is rather straight forward.  Here is the script to enable xp_cmdshell in SQL Server 2005 via sp_configure:

EXEC master.dbo.sp_configure 'show advanced options', 1

RECONFIGURE

EXEC