I found the solution to the DTS package JOb problem.
The problem was that when I executed the DTS package that import dats from AS400 on the Entreprise Manager it works perfectly but when I try to executed it like SQL Serve Agent Job, the package simply does not works.
I was using Client Access ODBC Driver, like my conecction with AS400 you have to change it for a DSN File.
And if the package does not woks yet, try changing the step type in the step tab from the job options. Change the step type to TSQL and type the follow: