Cannot enable file/folder auditing

Can anyone help me with this? I am on a Windows 2000
Server (sp4). It is NOT a domain controller. No
auditing settings are defined at the domain level and the
local security settings has "Audit object access" set
to "Success, Failure" for both the local setting and the
effective setting. However when I go to turn auditing on
for any folders or files I get a message saying "The
current Audit Policy for this computer does not have
auditing turned on...etc...." Am I missing something
here?