And to enable xp_cmdshell (if you haven't already), go to SQL Server Surface Area Configuration -> Features. This is where you can enable it. It'll be listed under the Database Engine as xp_cmdshell. There's a check box that you need to click on and that's all you need to get started.

Just remember that xp_cmdshell is disabled by default because of security issues. And just because you enable it doesn't mean you've got the proxy account stuff working.