Hi,
You don't necessarily need an activeX script in the Agent job. You can do it by using the xp_fileexists extended proc in T-SQL.
CREATE TABLE #exists (file_exist BIT, is_dir BIT, parent_dir BIT)
INSERT INTO #exists
execute master..XP_FILEEXIST '\\MachineName\directory\file.txt'
IF EXISTS (SELECT * FROM #exists WHERE file_exist = 1)
RAISERROR('File Exists', 10, 1) -- Non-fatal error as notification
ELSE
RAISERROR ('File Does Not Exist', 16, 1) -- Fatal error failing step
You can then have the step go to step X on pass and step Y on failure.