To save some of you from SQL Server 2005 Books Online, this quick bit of SQL will enable xp_cmdshell to execute, if you don't want to use the SQL Server 2005 Surface Area Configuration tool.
Clearly you'll need sa privileges on your SQL instance to run this:
sp_configure 'show advanced options', 1
GO
RECONFIGURE
GO
sp_configure 'xp_cmdshell', 1
GO
RECONFIGURE
GO
