It's not that files are being moved. The way this happens is, I open Management Studio, open a query window, type:

exec xp_cmdshell 'Dir C:\'

and execute it.

I get the results (which is a listing of everything in the root of C:\)

I can hit execute a dozen times and, at some point, the result set will change from being the contents of C:\ to NULL, but the files are exactly where they were. I can open a command prompt and do it and get the correct results every time. Once the results become NULL, I can try it a hundred more times and it won't go back to giving me the contents of C:\. If I come back, say, the next day, it may or may not start giving me the contents of C:\ again.

Once it is in that state (returning NULL for everything), the stored procedure will fail, because one of the steps uses xp_cmdshell.

I am thinking that something else is going on within SQL that blocks xp_cmdshell or that hogs it resources or something. And it's not JUST when I do a Dir; it's with anything I try to do using xp_cmdshell.

I know this is a difficult question because I did extensive online searches before posting my question. A lot of people have had this problem, most of the answers are off-track because it's kind of hard to explain the symptoms--and the only one of those posts where the solution was found was one where the Antivirus program was preventing xp_cmdshell. I don't have an antivirus program on here (I took it off for troubleshooting) and the firewall is turned off.