check your sqlsp.log to see if there was an error along the way. This should be in C:\Windows. You'll find the sp_dboption stored procedure in the sp3_serv_uni.sql sql script, which should be in the install directory (typically C:\Program Files\Microsoft SQL Server\MSSQL\Install).
There should also be a .out file there which tells you the results of that script being run. You should find in it a statement that read, "Creating 'sp_dboption'."
K. Brian Kelley
@kbriankelley