Last week I came across a SQL Server that was running 2005 SP2 and I thought “hmm I should upgrade this to SP4′” So I got a time to do it and I went along my merry way. Well I started the install and everything installed just fine except the database engine failed. The error in the log file said something about the path for Temp_MS_AgentSigningCertificate_database was not available. I thought this is strange since this is not a database on the server and I do not see it anywhere. I beat my head against the wall for a few minutes and then it came to me. AWW I bet that is something that the SP is putting on the Server for the install process. So I opened up SSMS and looked at my Default database location setting and found that someone had changed them to a disk that does not exist on the server. I changed that to a Valid path and re-ran the SP installer and what do you know… it all worked. So keep an eye out for that and I hope that you find this before you beat your head against a wall.