Thanks for the reply. Yes we are running SQL2008 on Windows 2008.

I had spotted that article. It states that you have to add the application server role but doesn't give any explanation why.

However I also found this technet article http://technet.microsoft.com/en-us/library/cc754024(WS.10).aspx which states that 'Not every server application benefits from the installation of the Application Server role. For example, the Application Server role is not necessary to support Microsoft Exchange Server or Microsoft SQL Server on Windows Server 2008'

Any idea which is correct?