How annoying is a ‘feature’ from a software provider which blocks access to all features unless you basically disable it? Microsoft provide Internet Explorer Enhanced Security on their server versions of Windows, unfortunately while this feature is in use it may as well be called; ‘Internet Explorer Completely Unusable’. It is impossible to browse the internet without accepting endless warnings and if you run Windows Update it will fail (with a spurious security error)!
I could advise that you install a different browser, like Firefox for instance. Whilst this is a good idea it will not make Windows Update work.
In 2003 server the first thing you would do would be to go to control panel and uninstall this useless feature. In Windows 2008 server the process is not the same. You will need to open Server Manager (which opens every time you log on until you ask it not to), click on the root folder and scroll down to the security information section and click on configure IE ESC. Disable it, it is USELESS (a little like Windows Firewall).