I have a very simple DTS package that takes the results of a query and
exports them to a .csv file (on the same computer that is running SQL
server). I can manually execute this package easily, and it works each time.
However, if I schedule it, it always fails on the 1st step (there is only 1
step - execute the package). This is the error:

The process could not be created for step 1 of job
0x963FC27F17F02448B3072D4B0B8AD5C8 (reason: The system cannot find the file
specified). The step failed.

The DTS package is run locally on your machine when you run it manually
and not on the server. When the scheduled job executes it it is on the
server..