Until you add a "role" to your server, this will continue to pop up. Again, this serves to make unattended installations of servers that much more difficult.
The about screen indicates that this is Server 2003, and is laid out in a similar manner to XP's.
The start menu is similar to XP's as well, except with all the unnecessary crap removed.
The control panel also doesn't have that bastardized webby view! That alone is a significant improvement.
The bundled IE includes an "enhanced security configuration" as if that will somehow make I[nsecur]E more secure. And while we're at it, what purpose does a web browser have on a server anyways?