As noeld said make sure to read the knowledge base article. Also follow the link to all the referenced articles as well. My guess is you are running Win2003 and need to set up the MSDTC correctly before it'll work. I've had that problem several times myself.
Gary Johnson
Microsoft Natural Language Group
DBA, Sr. DB Engineer
This posting is provided "AS IS" with no warranties, and confers no rights. The opinions expressed in this post are my own and may not reflect that of my employer.