sql query to select data from excel

I get this error :

Msg 7302, Level 16, State 1, Line 1
Cannot create an instance of OLE DB provider "Microsoft.Jet.OLEDB.4.0" for linked server "(null)".

when executing this query in SQL Server 2005:

SELECT * 
INTO #TEMP1 
FROM OPENROWSET('Microsoft.Jet.OLEDB.4.0',
                'Excel 8.0;Database=E:\Students.xls',
                'SELECT * FROM [Sheet1$]')