Windows Server 2003 ships with security locked down by default. Part of this locking is Internet Explorer Enhanced Security which provides an extra layer of protection when accessing the net using Internet Explorer.

You can uninstall the entire Configuration, or just for users, or just for Administrators. The un-installer is set up like this:

Enhanced Security
->For Administrators
->For Users

If you have just random users connecting via Remote Desktop or Terminal Services, you may want to leave the Users configuration installed.

To remove it:

Click Start, put your mouse over Control Panel, and click Add/Remove Programs

Now click Add/Remove Windows Components

After a few seconds a window will pop-up. Uncheck the check mark next to Internet Explorer Enhanced Security Configuration. If you'd like to only disable it for Administrators or only for Users you can click Details and do so.

Press Next, let it finish, and it's now disabled.