Hello!
I met an interesting thing. When I connect to the Sybase Server via SQL Advantage and run xp_cmdshell (with a user who has sa_role) then it throws back that "User access denied. Not a member of NT administrators group."
Ok, then I created a login who had the same name in Sybase that an NT administrator had in NT (but actually there was absolutely nothing common between them apart from their names) and I gave him right to execute xp_cmdshell.
Now with this user I could gave commands on NT as if I was an NT administrator. It acted like Kerberos but I think itd rather work in the other way instead (you log in to NT and then it carries you to Sybase as well).

What to do with this problem?
Thanks,
Bandi