Ran following command in SQL server (11.9.2):
xp_cmdshell 'dir'

Error returned is:
Server Message: Number 11488, Severity 10
Server 'XP Server', Line 0:
User access denied. Not a member of NT administrators group.
(return status = 1)

It should work becuase the Sybase acount is a member of the NT
administrators group ?
Any ideas ?