I can also recommend ZoneAlarm for W95/98/NT as properly working, easy to use and configure freeware.
It's good for desktop PC with limited resources but I think it would also work well on servers.
Steve from grc.com recommended it and I aslo have it installed on one of machines for long time.

As for W2000 I prefer to set filters manually, that's fun

Cheers
Chef



P.S. If you want to try I still have the 2.1.25 v (with no pop-ups).