SQL Server Agent in SQL Server 2005 runs a lot different then you would expect. I've run into this same issue before and surprising "sa" does not have all the permissions you would think to run an agent job.

If you are running the SQL Server agent service under a domain account, use this account as the "Owner" when saving the Agent job. By runing under the account that SQl Server Agent runs under, it usually has the permissions it needs.

You will probably want to sign on to the server using this domain account where SQL Server Agent is installed and verify that all the network drives and configuration files can be seen by this user account.