tman, the only problem with WIndows Firewall is that it does not detect/block OUTGOING connections. Other than that I find it actually quite good. But that is a major security issue if you want to detect trojans or anyway just keep an eye on whatever wants to connect out from your machine.

I'll give a try to f-secure.

Edit: potteri, it seems that F-Secure Internet Security does not run on Windows Server 2003. The Server solution they have looks far more complex and heaviu than what I need, and, mostly, they don't have a trial to let me see what it actually does (in the hope I can only install the firewall).