Officially, the VPN client is not supported on any Windows server version. there are just too many permutations and combinations on server platforms for us to check them all out.
Having said that, there are a lot of customers out there running the VPN client on 2003 Server and it works fine. There's nothing special to configure, although I would suggest using the latest version of the clientas earlier versions had trouble. Also use the InstallShield (not Microsoft) Installer, it seems to have less problems.
Your biggest problem is that if you do run into trouble, you're going to get limited TAC and developer support because it is an unsupported platform.
