Since Windows Server 2003/2008 are server operating systems, the built-in Internet Explorer browser has the "Enhanced Security" mode ("Internet Explorer Enhanced Security Configuration" or "IE SC") enabled by default. To disable it, do the following:
Close all open IE windows.
If your server runs Windows Server 2003, go to: "Start" -> "Control Panel" -> "Add or Remove Programs" -> "Add/Remove Windows Components" (the bottom item in the left-hand menu) -> uncheck "Internet Explorer Enhanced Security Configuration" -> click "Next", and when the process completes, click "Finish".
To disable IE SC in Windows Server 2008, open the "Server Manager" snap-in (the first button next to the "Start" menu), then select "Configure IE ESC":

Then turn IE ESC off for both Administrators and Users:

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