Do you have a mail client setup for SQLSERVERAGENT. You must setup a mail client such as Outlook 2000 and run the SQLServer and SQL SERVERAGENT account using a domain account. The account used must have the proper permissions to execute DTS. Also, in order for the account to work it must belong to the msdb database.
Keep in mind that if you have a mail client setup and your are running from your workstation, it uses the credentials from your local outlook profile. run it from the server and see what happens. Either check all that apply.