If you are hoping to run check_mk_agent in conjunction with a Check_MK installation be aware that the install option may fail silently with no error. This happens on SBS 2011. The solution is intitially to test checks with check_mk -I from the server with the agent launched from a dos session with the adhoc flag. This runs as a foreground process to allow the checks to be inventoried.
If you want to install the service permanently – then you must start a dos session with run as administrator (not just running a dos session while logged in as an admin user). this will install the service which you can then start through control panel or by running services.msc from the elevated dos session – and then starting the service.