Here's a tutorial site I like.

SQL Tutorial

If you get this error and all else is as it should be, try this.

Msg 14607, Level 16, State 1, Procedure sysmail_verify_profile_sp, Line 42
profile name is not valid

Run this and then the TestSQL output to make sure you've really got the correct Profile name.

SELECT [profile_id]
      ,[name] 
      ,[description]
      ,[last_mod_datetime]
      ,[last_mod_user]
   ,'EXEC msdb.dbo.sp_send_dbmail
@profile_name = ''' + name + ''',
@recipients = ''me@test.com'', 
@subject = ''Test'',
@body  = ''Message'',
  @body_format = ''HTML'';' AS TestSQL
  FROM [msdb].[dbo].[sysmail_profile]

--xp_cmdshell 'dir e:\mssql\reports'
--Msg 229, Level 14, State 5, Procedure xp_cmdshell, Line 1
--The EXECUTE permission was denied on the object 'xp_cmdshell', database 'mssqlsystemresource', schema 'sys'.

EXEC sp__cmdshell  'dir e:\mssql\reports'

Works!

Here's the procedure:

You probably also need to give permissions to a login or a role to run the new procedure.

Here's what I did to successfully set up a linked server to a directory on a SQL 2000 or SQL 2005 server.

/* Remove any previous references to the linked server */
USE [master]
GO

/****** Object:  LinkedServer [LOCAL_PATH]    Script Date: 01/06/2009 14:04:46 ******/
EXEC master.dbo.sp_dropserver @server=N'LOCAL_PATH', @droplogins='droplogins'
GO


EXEC sp_addlinkedserver 'LOCAL_PATH',
    'Jet 4.0',
    'Microsoft.Jet.OLEDB.4.0',
    'E:\MSSQL\Reports', NULL, 'Text'

GO

EXEC sp_tables_ex
   @table_server='LOCAL_PATH'


--
-- If you get this error
--
--
--OLE DB provider "Microsoft.Jet.OLEDB.4.0" for linked server "LOCAL_PATH" returned message "Unspecified error".
--Msg 7303, Level 16, State 1, Procedure sp_tables_ex, Line 41
--Cannot initialize the data source object of OLE DB provider "Microsoft.Jet.OLEDB.4.0" for linked server "LOCAL_PATH".

--Simply log onto the server as the same account that the sql services run as.
--Then under my computer properties changes the TEMP and TMP environment variables to something like
    C:\temp
    or
    C:\TempSQL
--which should have security permissions changed to allow local users to have RWC permissions.

 You might also lookup this on the Microsoft site.
    PRB: Error 7399 When You Run a Linked Server Query That Uses the OLE DB Provider for Microsoft Jet