I was installing SMP on a 2008 r2 (X64) and I was getting these errors

 

SMS_STATE_MIGRATION_POINT received START notification.    SMS_STATE_MIGRATION_POINT    22/12/2011 10:22:45    7128 (0x1BD8)
SMPPeriodicActivityInterval = 1440 minutes
Failed to find the certificate in the store, retry 1.
Failed to find the certificate in the store, retry 2.
Failed to find the certificate in the store, retry 3.
CCMRetrieveCertificateContext failed : 0×80004005
RetrieveCertificateContext() failed. SMP Cert does not exist. Creating a SelfSignedEncryptionCert.
Creating Encryption Certificate…
Failed to create certificate hr=0×80070005
CreateSelfSignedEncryptionCert() failed.
GetSMPSerializedKey failed : 0×80070005
GetSMPSerializedKey failed.
SMPManager failed to start, Error = (0×80070005).
SMS_EXECUTIVE started SMS_STATE_MIGRATION_POINT as thread ID 3496 (0xDA8).

It was related to READ permissions on the MachineKey folder C:\Users\All Users\Microsoft\Crypto\RSA

I basically had to enable the LOCALSYSTEM access to this folder and restarted the service, All is well now :)