Thank you for your reply. I'll give it a try even though I don't think it will make a difference for two reasons:

a) the proxy I'm using is based on my Windows domain account, so it "should" be the same and

b) the program I'm calling doesn't need to be installed. It's a stand alone exe that just needs to be accessible (and that's the case, even when called by the SQL job)

But you'll never know until you've tried. Right? 😉