Recreating secedit.sdb

When I try to look at the local security policy it tells me the database does not exist.  That is fine I can deal with that, by recreating the security database as per the following instructions.

Open the %SystemRoot%\Security folder, create a new folder, and then name it "OldSecurity".
Move all of the files ending in .log from the %SystemRoot%\Security folder to the OldSecurity folder.
Find the Secedit.sdb file in the %SystemRoot%\Security\Database folder, and then rename this file to "Secedit.old".
Click Start, click Run, type mmc, and then click OK.
Click Console, click Add/Remove Snap-in, and then add the Security and Configuration snap-in.
Right-click Security and Configuration and Analysis, and then click Open Database.
Browse to the %SystemRoot%\Security\Database folder, type Secedit.sdb in the File name box, and then click Open.
When you are prompted to import a template, click Setup Security.inf, and then click Open.

NOTE: If you receive an "Access denied" message, you can safely ignore it.

The problem I have is that I don't get and Access denied message.  The message I receive is a s follows.

Security Templates (Title)
An extended error has occurred
Import failed.

I click OK and nothing has happend.
Please help most urgently I'm really stuck with this.

I have tried using the templates from a different server and setting the permissions on folder.  Could it be permissions to a registry key?  I have more than one server in this situation.

Many Thanks
Richard