most likely permissions, as previously identified, but maybe i can help you find out the specifics.
if i right click on my temp folder, and go to the security tab, i see everyone who has permissions.
* Note that NT Authority\Network Service DOES NOT have permissions)
folders like \Users\username\Desktop are the same situation.
now remember that when you access any resource OUTSIDE of SQL server, a security context that is not intuitively understood is used instead.
When accessing network shares, local hard drives and folders via xp_cmdshell, bcp with a "trusted" connection, sp_OA type functions etc.
it doesn't matter what YOUR credentials are. Whether you are Domain Admin,Local Admin , logged in as sa, administrative login on a laptop, etc, because SQL will not carry those credentials to the "outside of SQL" security context.
SQL WILL pass your credentials to a linked server, but anything else is using an account you did not intuitively expect it to use.
SQL Server uses either the account set up as the proxy account, or if that is left blank(the default) it uses account it starts with to try and access the resource:
or if the above was blank, the account in services:
That account is often an account which has never logged into the domain, and was never assigned permissions to get to the local disk or network share.
As a result, you usually need to create a domain account in Active Directory, specifically grant it share access if it doesn't inherit it from Domain\Users or Domain\AuthenticatedUsers and change the account SQL Server starts with to that account.
Once that is done, and you stop and start the SQL service to make it use that account instead of old running values, your linked server/xp_cmdshell would work.
you can prove this is the issue by simply putting in your credentials, with your domain account and password, and confirm the external object you were trying to access/use works when SQL is run your credentials, so you'd know you need a domain account to access the resource.
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