Python doesn't come with Windows, but it is free. So you'll have to obtain a copy from the Python official site (see Related Links below). At the official site, download the Python Windows installer. The current version, as of this writing, is "Python 2.4.3 Windows installer. When you click on the link, you will get the following dialog box.
If you get the "this installation package could not be opened" message, it probably means that you don't have permission to install software on Microsoft Windows Server 2003.