I wouldn't recommend Windows Firewall, especially not Windows Server 2003's own one. You're best off locking down the hardware firewall on your network.
Your router probably has a firewall on it even if you don't have a seperate hardware firewall, find some tutorials or an online manual for your router and you should find a way to lock the firewall down so that only the traffic you want gets through.
If it's a webserver then you need to continue to allow port 80 through to the firewall. If you have any special applications being accessed from elsewhere you'll need to know what port numbers those applications need and make sure those ports are free as well.
If you want to stop RDP/Terminal Services access to the server then all you need to do is, Right click My Computer > Properties then Click the Remote tab and UNtick the option for "Allow remote connections to this computer".
There are more things you can do but they are a little harder to explain on here.
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