Are you talking about "Run Job as"?
If so, it could be a windows permissions problem. First, make sure you have SysAdmin rights in SQL to be able to make the changes in SQL. If you do, verify you have Power User or Admin rights on the Server you're making the changes on.
If you have all the permissions on the above, then you'll need to delve into your Active Directory groups & "deep" permissions (the hidden Group Policy stuff) to find out if there's a Deny hidden somewhere in there which negates your ability to work on SQL Server or the actual box. Also, verify that you're not part of a group that's mapped to a SQL Login with Deny on anything.
Hope that helps.
Catadmin
Catadmin - MCDBA, MCSA
"If a person is Microsoft Certified, does that mean that Microsoft pays the bills for the funny white jackets that tie in the back???