El error que nos manda al tratar de cambiar contraseña o habilitar el login del usuario ‘sa’ cuando se requiere hacerlo es el siguiente:
Msg 15535, Level 16, State 1, Line 1
Cannot set a credential for principal 'sa'.
Anyway, for anyone on SQL Server 2005 who gets this Cannot set a credential for principal ‘sa’ error, the fix is easy. Here’s what you see:

Notice the arrow points to the “Map to Credential” checkbox that is unchecked. That’s the problem – it should be checked. I made my changes, clicked “Ok” and that’s when I received the error. Being the industrious little beaver that I am, I then clicked the Script button and tried to run the code:
The fix looks like this:

It’s weird how “Map to Credential” is checked yet there is no credential specified. But that’s what you have to do.