I'd rather be a n00b, than a clueless t00L, who doesn't obviously have a clue as to the answer, but feels the need to respond with a pointless message, such as the above.
Shephard,
The reason why you are having problems, is that, although Windows 2003 does support DirectX/OpenGL , it is not enabled by default. To enable these, you need to go to DISPLAY PROPERTIES/SETTINGS/ADVANCED/TROUBLESHOOT and then move the hardware acceleration slider, all the way to FULL.
Once you have done this, i would recommend that you re-install DirectX 9C from microsoft website
http://www.microsoft.com/downloads/details.aspx?FamilyID=9226a611-62fe-4f61-aba1-914185249413&displaylang=en
and you should be good to go.
Now, from my testing, on a dual boot PC...
HL2 Lost Coast - Video Stress test , everything set to HIGH.
XP = 51.67fps
W2K3 = 60.47fps
RAM seen by PC
XP = 3072mb
W2K3 = 4096mb
So, thats a 20% improvement in FPS, just by using Windows 2003 Server over XP Pro. AND as a bonus, i can now use ALL of my 4gb of RAM. So much for 2003 Server NOT being a gamers platform.