'xp_cmdshell' does not exist?

'xp_cmdshell' does not exist??

 

EXEC sp_configure 'show advanced options', 1;
GO
RECONFIGURE;
GO

EXEC sp_configure 'xp_cmdshell',1
GO
RECONFIGURE
GO

Refer http://msdn.microsoft.com/en-us/library/ms189631.aspx for more options.