Sql Server Agent Problem With Excel Automation

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I have a problem to run a package with a scrip task containing the code in this page. I try to create a new excel workbook, change some cells, and save it to the harddrive. When designing the package in BI dev studio, I can execute it without a problem. I can even run it with DTexec.exe. The problem is that when I run this package from the SQL server agent, then it breaks. It breaks on a machine running Windows server 2008 with SQL server 2008 on it and it also breaks on a machine running Vista with sql server 2005, but it runs fine on a windows server 2003 machine with sql server 2005 on it.
I can also mention that if I dim out the one line after the comment in the code, then It runs fine on any one of my machines. The problem seems to be with saving or opening an excel file. I am also making use of a proxy with a credential using my login name. I am part of the administrators on these machines.

Imports eXcel = Microsoft.Office.Interop.Excel
Public Sub Main()
Dim objExcel As New eXcel.Application
Dim objSheet As eXcel.Worksheet
Dim strFname As String = "c: empBook3.xls"
objExcel.DisplayAlerts = False
objExcel.Application.Interactive = False
objExcel.Workbooks.Add()
objExcel.Cells(1, 1) = "0"
'I dim out the next line and it works from sql server agent on any machine
objExcel.ActiveWorkbook.SaveAs(strFname)
objExcel.DisplayAlerts = True
objExcel.Application.Quit()
objSheet = Nothing
objExcel = Nothing


Dts.TaskResult = ScriptResults.Success
End Sub

The error that I receive is this one:
Executed as user: BS-PROCESS1dlangec. ...0.0.1300.13 for 32-bit Copyright (C) Microsoft Corp 1984-2005. All rights reserved. Started: 10:25:16 PM Error: 2008-03-18 22:25:22.40 Code: 0x00000001 Source: Script Task Description: System.Runtime.InteropServices.COMException (0x800A03EC): Exception from HRESULT: 0x800A03EC Server stack trace: at Microsoft.VisualStudio.Tools.Applications.RemoteTypeAdapter.System.AddIn.Contract.Automation.IRemoteTypeContract.InvokeMember(String name, BindingFlags bindingFlags, IRemoteObjectContract target, IRemoteArgumentArrayContract remoteArgs, Boolean[] remoteArgModifiers, Int32 lcid) at System.Runtime.Remoting.Messaging.StackBuilderSink._PrivateProcessMessage(IntPtr md, Object[] args, Object server, Int32 methodPtr, Boolean fExecuteInContext, Object[]& outArgs) at System.Runtime.Remoting.Messaging.StackBuilderSink.PrivateProcessMessage(RuntimeMethodHandle md, Object[] args, Object server, Int32 metho... Process Exit Code 1. The step failed.