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SQL Agent Proxy Account – URGENT Need Help

Hi, I have set the SQL Agent Proxy account using the system stored proc xp_sqlagent_proxy_account N’SET’, N’DomainName, N’WindowsAccnt, N’Password by logging in as sa user. This step is successful and I tested using xp_sqlagent_proxy_account’GET’ My SQL login doesnt have SysAdmin privileges. But my windows account belongs to Admistrator’s group and the MSSQLService and SQLAgentService are running on my machine with the same windows domain account, that I have logged into. The SQL User account that am using is a dbowner for one of the user databases and is public for master database. I have a stored procedure in my database, that uses xp_cmdshell which I have scheduled it through an Agent Job. I get an error "Execute Permission denied". I followed the steps after reading the MSDN online. Please let me know if am missing something here. Appreciate your help very much. Thanks in Advance.
I don’t see any issue and could you please confirm the authentication mode used to connect SQL Server. Satya SKJ
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Thanks for the reply. I had to configure few more things to make it work. I found a KB article that mentioned what I was missing. Here’s the link http://support.microsoft.com/kb/q264155/ Thanks again,

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