Windows Firewall is a built-in, host-based, stateful firewall that is included in Windows Vista, Windows Server 2008, Windows XP with Service Pack 2 and later, and Windows Server 2003 with Service Pack 1 and later. It is recommended that all servers be protected by either a hardware based firewall or at the very least the host-base firewall. Follow the links below for recommendations and how-to articles on configuring Windows host-based firewalls for Windows server 2003 SP1 and Windows server 2008.
Windows Server 2003 SP1, Domain controller will not function correctly if firewall is enabled. The following KB articles explain how to enable firewall on a domain controller.
In Windows Server 2008, the old Windows Firewall is dramatically improved. The follow article will give you an overview of how to configure Windows 2008 Advance Firewall.
Service overview and network port requirements for the Windows Server system
For more information on different versions of Windows firewall