Cannot enable software DEP for all programs - why?

I am attempting to enable the software DEP for all programs and
services, using the instructions provided by the MS KB atricle. Win XP
Pro, sp2, fully patched. When I close the dialog after clicking the
radio button to "turn on DEP for all programs", I get the reboot your
computer warning. I reboot, since the computer does not force a
reboot. When I bring up the DEP tab again, DEP for all programs is not
selected. I can't turn it on. Looked to KB articles and XP group
entires on this and found nothing. Anyone seen this problem?