I have always hosted off of my own connection, shared, or colo. I am interested in how dedicated works. I would say that it would be justifiable to get a dedicated if I could place four or sites on it, which I could. Now this is where I get lost, does having a dedicated webserver mean I would have to supply my own mailserver? And what dns for those domains there, is that part of the deal as well?
If this answers your question(s): You'll probably want to purchase a dedicated server with a control panel preinstalled. If you do, most tools that you need to get your server on the internet are already installed and ready to go. In my case, it took little or no time to get my server online. Of course, I accessed it via the IP address. So, question one: Your dedicated server will MOST LIKELY come with a mailserver. You'll want to check the preinstalled software that comes with the box if it doesn't come with a control panel. As for DNS, once again, if you have a control panel installed then all it should take is taking two IP addresses pointed to the box and create name servers with your domain's control panel (from your registrar).
I hope this clears up some issues.
EDIT: BTW, I had a Linux box. I can't think of any differences with a Win2k servers though. Well, if you don't have a control panel, how you setup your mailserver and DNS will be slightly different.