Hi, Sydney, and welcome to the forum,
The problem that you've described typically happens when you
view the contents of a .chm file remotely, over a network, and is
caused by security restrictions that Microsoft introduced in 2005.
See this article for more information and workarounds:
http://www.grainge.org/pages/authoring/chm_mspatch/896358.htm
So, the solution is either to move the .chm file to a local
drive or implement the registry changes that are described in the
article (on your local machine rather than on the Windows 2003
server). The easiest way to make these registry changes is to use
the free HHReg utility, which is available from here:
http://www.ec-software.com/products_hhreg.html
To answer your question, though, I don't believe there's any
difference between Windows Server 2003 and other versions of
Windows as far as .chm files are concerned.
Pete