w2k3 is the best os microsoft ever made i think...
maybe it looks like xp, the kernel is definitely not the same. w2k3 has improved process scheduling for instance an a better tcp/ip implementation, but the major advantage for me is the improved disk-write-cache option you may find in the property page on each installed hard drive. it lets you choose to fully enable the write cache of the hard disk. so no 'scsi-bug'-thing any more...
but now the problem is that w2k3 is expensive. for the standard edition you have to pay around 500€, for the enterprise edition it's around 3000€!!! - but if you have a dual-opteron system you will need the numa-support, which is only included in the enterprise edition, to get the full potential out of your system.
to answer the question about your firewall: yes its right, you cannot run desktop software on a server if the software company has a server version of their software available and has coded some checks into their products. but zonealarm sucks anyway...
install the tiny personal firewall if you can get a copy or try the kerio-freeware-version of tiny (i'm not shure if the kerio-fw will run on w2k3, but tiny does, just give it a try...
).
just another tip: sometimes if an installer won't let you install a software package, try the compatibility option on the installer and switch the mode to 'windows xp'... among other things it works on logitech's mouseware.
(these options can be found if you right-click on the .exe an then choose 'properties'->'compatibility')