Solved it.

SANJAY_G. You were right it was a privilege problem.

I solved it by doing the following.

To grant privileges on the directory that the jobs get written to (default is c:\winnt\temp):
Go to Start, Programs, Accessories, Windows Explorer
Open the navigator until you are on C:\WINNT\TEMP
Right click on this folder and select properties.
Click on Security
Click on Add
Make sure the "Look in" is the local computer
Select the relevant group or user and click on Add
Back on the security tab select the same group/user, then make sure the permissions are set as needed (at least read).
Click on Apply, then OK

Tnaks again for all your help

Eddy