When you freshly install windows 2003, "internet explorer enhanced security configuration" is on by default which makes your life hell when you try to browse the web and doesn't let you download firefox either (because clicking download on firefox each time triggers a different server that needs to be authorized by adding it to the allowed sites).
To solve this issue, and just download a normal browser such as firefox, simply go to control panel -> add /remove programs -> add/remove windows components -> uncheck "internet explorer enhanced security configuration" -> next,next,next .... finish -> download firefox
In windows 2008 it is a little different, Windows Server 2008 implementation of Internet Explorer Enhanced Security Configuration is configured through Server Manager. Select the root of the Service Manager navigation pane, and under the Server Summary click Configure IE ESC, which is part of the Security Information section. A dialog box appears, letting Internet Explorer Enhanced Security Configuration be enabled/disable separately for normal users and administrators.