When trying to start a SQL Server Security Monitor you obtain: "Error executing "EXEC master..sp_tango_shell 'mkdir C:\TangoTraces\', 0;": [Microsoft][SQL Native Client][SQL Server]An error occurred during the execution of xp_cmdshell. A call to 'LogonUserW' failed with error code: '1385'.".
In order to fix this you need to open the Local Security Settings on the remote machine (the one you are trying to monitor).
Navigate to Security Settings -> Local Policies -> User Rights Assignment.
Now open "Log on as a batch job" and add the user you assigned to the xp_cmdshell proxy account in the third tab of the DataSource of the monitor.
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