Running DTS package using xp_cmdshell and Proxy Account

[Zukkster]

I'm trying to set up a task on an Access database that runs a Data Transformation package using a pass through query.

It works OK on my account using

exec master.dbo.xp_cmdshell 'DTSRun /S CMCUKSQL2000 /N REPORTER: Update DIST_CSW /E'

but I'm a member of sysadmin.

I want other users to be able to run this import job, but obviously don't want too many others being added to the sysadmin role.

I've read that I can do this by setting up a Proxy account, but I'm not too sure how to go about setting up the account.

Do I need to create a user called "Proxy" (for example)?

Thanks