Steps to enable CLR Integration, OLE Automation and xp_cmdshell procedures in sql server 2005 and 2008

For SQL Server 2005:
Follow these steps:
1) From start menu open Sql Server 2005 surface are configuration

2) Select Surface Area Configuration For Features

Select OLE Automation from Database Engine node and then checked the Enable OLE Automation checked box to enable the feature. Follow the same step for CLR Integration and xp_cmdshell. Then click the apply button and close the window. The CLR Integration, OLE Automation features and xp_cmdshell features are now enabled.


For SQL Server 2008:
1) Open the SQL Server 2008 and follow the below steps

After performing the above steps click he OK button.  The OLE Automation features and xp_cmdshell features are now enabled.
To enable CLR Integration select the server configuration from the drop down menu.

Change the ClrIntegrationEnabled value from false to true to enable it. Now CLR Integration is enabled.
or run the following script to enable CLR Integration

sp_configure 'show advanced options', 1;   
  GO   
  RECONFIGURE;   
  GO   
  sp_configure 'clr enabled', 1;   
  GO   
  RECONFIGURE;   
  GO   

Reference:
http://msdn.microsoft.com/en-us/library/ms161956.aspx