'xp_cmdshell' does not exist

In order to configure xp_cmdshell, first need to enable the advanced options and then only all the advanced configuration options works out.

It can be done as follows:


EXEC sp_configure 'show advanced options', 1;
GO
RECONFIGURE;
GO

EXEC sp_configure 'xp_cmdshell',1
GO
RECONFIGURE
GO

Refer http://msdn.microsoft.com/en-us/library/ms189631.aspx for more options.